While Mexican officials have likely been amply bribed to look the other way as the caravan passes and the organizers have been careful to avoid the appearance of this being an invading army, it is inevitable that the criminal element in this mob will show itself along the way. If the supplies of food, water and money are interrupted this caravan will quickly break into a pillaging mob that will ravage the Mexican countryside like locusts. The Mexican government should be scared to death that this caravan wont become the barbarian hoard.
If they ruin business as usual the cartels might deal with them.