[VOA]

What do they expect the Mexican consulate to do?

It's some sort of diplomatic obligation.
IIRC, Mexico, Germany and some other countries have thrown hissy-fits
when one of their ex-patriates have been convicted of serious crimes
and their country hasn't been notified.

You'd think they'd be grateful for taking care of their trash!!!

And, given this is Oklahoma, I wouldn't be surprised if the Oklahoma
rep said "Yep, we've arrested one of your bad boys. And when he's
convicted for stomping a child, we're gonna' execute him!"

[SmoothTalker]

“IIRC, Mexico, Germany and some other countries have thrown hissy-fits
when one of their ex-patriates have been convicted of serious crimes
and their country hasn’t been notified. “

We are the same way. Its just SOP to contact an embassy when you arrest the citizen of another country.