Hi there.
If you fail to complete any leg in your journey, you risk the rest of your trip including your return trip. They can cancel the rest of your flights if they are on the same ticket. You may also have issues as you usually cannot short-check your luggage. You may get lucky there as MEX is your entry into Mexico so you may have to collect your luggage and then transition it to the domestic portion. But I would not want to risk the rest of your ticket by missing any leg of your journey.