I think you're right...at least, we haven't had any reports of air incursions. And I haven't heard anything locally. (I live about 15 miles from the AZ/Mexico border)
OTOH, there have been scads of land incursions west of me on the Tohono O'odham reservation by cartel members protecting their trade routes. That area stretches ~100 miles from the border to Interstate 8 near Casa Grande and is very much like Afghanistan in terms of terrain and climate. And some folks would also say people...
“IIRC, they have shot across the border before, but not crossed over by air. Am I wrong on this?”
My SILs Step-father used to work the border between Tucson and East a few miles and he and his crew were shot at regularly but not allowed to return fire. To his knowledge, no USA personnel were ever hit.