I can't speak to flights from Tokyo. I know on Aeromexico flights from JFK-MEX-Another destination within Mexico, the bags now go on to the final destination, with no pick-up/drop off that they used to have. They will only end up on the conveyor if they have been flagged for customs. This is something that is still being rolled out, and only seems to be consistent with Aeromexico-branded planes. Delta branded planes reportedly still have to pick up and drop off luggage after having gone through customs.

Also, absolutely inform Aeromexico know you are not making the connection, because if not, they will cancel any remaining legs on the itinerary. This must be done within 24 hours of the missed flight, I believe.