You will find that more and more governments are skipping stamping passports these days. As I understand it even the Schengen countries in Europe will be phasing it out.

The airline would have checked that your documents were sufficient to enter the U.S. Mexican immigration staff would not. Even at countries which have exit controls, immigration officials will not generally check to see if you have documents (visa, etc.) for the destination to which you're traveling--they are more concerned that you are leaving their country. They may ask for your boarding pass for your onward flight but this is only to make sure you're departing their territory.

This is fairly standard around the world. When I flew to India awhile back via Paris CDG, French immigration officials asked me nothing about my e-visa to India, but simply stamped my passport to verify that I was leaving Schengen. However, at the gate Air France was rigorous about checking everyone's e-visa confirmations before allowing us to board the flight to Delhi.