I've crossed at Mexicali a few times and never had issues or felt at risk in the slightest. Like @RDFTS , I've never stopped since I'm on my way to off-road, but if you have a gated parking lot and you're only there during the day I would have zero concern. I would get Mexican insurance just to be safe. EXO uses Baja Bound insurance, so they are used to dealing with Raptors and this community. There is a Global Entry lane for the return trip, which Tecate doesn't have. Personally, I would be more leary of leaving my truck in Yuma or Calexico than I would driving it into Mexicali for a day.