Why shouldn't they?
Your FRS/GMRS Radios is probably only US or US/Canadian approved.
It would be like you going over to India and using GMRS 625 simplex.
Watch out, you might not leave the country as the channel over there belongs to the Prime Ministers Security Unit.
What is valid in One Country for radio frequencies is not valid in many others.
Your best to purchase a radio there or not even use one. Not worth the risk. Altho I can already here the comments coming from others "but I did it and had no problem". Illegal is Illegal.
Seems like the Mexican authorities are a pain in the ass with US FRS radios.... guess I shouldn't bring the ht1250s to use on FRS channels then huh?