Back in May, when I flew to LIM via MEX from LAX on AM, I had mixed results with baggage transfers. On the outbound from LAX, my bag was successfully transferred in MEX to my LIM flight. I confirmed this with the agent at the AM information desk in the Customs baggage claim area prior to leaving the customs area.
On the return flight from LIM to MEX, they made an announcement during the flight informing us that we would need to collect our bags and pass through customs regardless of the final destination. I again stopped by the AM information desk in the customs baggage claim area to inquire about collecting my bag and sure enough, they confirmed that I would indeed need to collect my bag and pass through customs.
So I'm not sure why it transferred on the outbound and not the return but I'd recommend stopping by the AM information desk and inquiring with them to determine if your bag will indeed transfer to the next flight.