Might have been good for everyone but it wasn't smart. Filming yourself committing a crime (bounty hunting is illegal in Mexico) then turning that film into a TV show is a short path to nothing good.
American bounty hunters have done time in Mexico before, and Canada too, as far as they're concerned it's kidnapping. That doesn't mean this situation is a straight law and order thing, but it does mean there's a perfectly good legitimate reason for them to want to put Dog away. He did break their laws, and he did turn himself into a TV star with the footage from breaking their law. I hope Dog finds a loophole, or at least that his fears of what will happen to him in Mexican prison are wrong, but he did make this bed.