If we knew a group was going to protest on our northern border and expected there would be a counter protest in the Canadian side and that there might be a potential for some conflict, I would expect that we would notify the Canadian government so they could have law enforcement prepared to deal with anything that might happen on their side of the border while we dealt with our side.
It's part of cooperating on border security and being good neighbors.
We do have treaties with Mexico about cooperating on border security. Mexico obviously doesn't live up to their obligations under them, and their government makes clear statements that make it obvious that they have no intention to live up to their obligations, and they are in many cases working in opposition to their obligations.
Mexico is not cooperating with us on securing the border, except for some cooperation on smuggling.
We need to stop treating the Mexican government as a ally on this issue, and start treating them as the enemy that they are in regards to illegal immigration.