I do like going into Mexico but not really the border towns because they are too rough at least where I am. However, I do not care to take any of my personal vehicles to Mexico but rather prefer to fly and avoid the border areas. I have heard that the Baja area is really good though and probably would consider taking the Eagle to that area. And yes, knives are a bad thing too! - Greg
Knives on your person are are also illegal in Mexico. Even a pen-knife on your keychain is too much if the police are looking for reasons to arrest you.
And to be fair, I'm sure if the incident had been reversed (Mexicans camping in US kill attackers in self-defense and flee back across the border), the US would be asking Mexico to send them back, with probably the same result.
It's a judgment call...even when you're in the right, you have to decide what the best course of action in the situation. Stay and deal with local law, or flee the scene of a crime (often a crime itself) to a more favorable jurisdiction. In that case, since the guy was already going to be in real trouble for having a gun, he probably made the best choice.