From AMEX site linked above:

"Definition of the Premium Car Rental Protection Plan
Premium Car Rental Protection (PCRP) is insurance coverage offered to American Express® Cardmembers to help protect them and Passengers when the Cardmember uses an enrolled Card to pay for a Rental Auto from a Rental Company. Coverage includes 1) reimbursement for damage to or theft of the Rental Auto and personal property, and 2) medical expense and death and dismemberment benefits resulting from a covered Accident. Coverage is worldwide except vehicles rented in Australia, Ireland, Israel, Italy, Jamaica, and New Zealand. Enrollment is available to Consumer and Small Business Cardmembers residing in the U.S., Puerto Rico, and the U.S. Virgin Islands. Corporate Cardmembers are not eligible."

Mexican rentals are covered.