Anyway after two hours on hold I talked to someone on the phone who said that Aeromexico has an embargo from 16 November to 16 January which is the reason why I can't bring a bag.
I found a similar itinerary MSP-LAX-MEX (MSP-LAX is regular Delta, not Delta Connection and LAX-MEX is Aeromexico) and likewise a bag is not allowed.
However if you fly MSP-ATL-MEX (regular Delta the whole way) a bag is allowed.
So Aeromexico is apparently the culprit!
When I go on my booking on the Aeromexico website I similarly cannot add bags.
Case closed...