I have watched several of their videos. They are about living the ex-pat life in Mexico. They do show both the good side and the bad sides of day-to-day life there. They make a a point of avoiding any contact with cartel kind of people and activities. They obviously enjoy living there since they are free to return to the U.S. whenever they want. Much of Mexico is pretty livable, especially if you have money.
That said, I do not believe they are in Mexico illegally or extralegally. Mexico frowns on that and will deport you for overstaying or misbehaving. If we were to adopt Mexican immigration laws it would be denounced as draconian.
As are immigrations laws in every other country than ours.