You aren't gonna get shot in mexico. You can talk to anyone how you want. As long as you don't do anything in a threatening manner, you're fine.

If you do fuck up, you'll get a second chance $ with the federalis. If you are broke, or somehow fuck that up too, you'll get a third chance when you get to a jailhouse. There you can beg yourself out. Usually they hold you somewhere before taking you to a real 'prison'.

Ask me how I know.