In the case of Mexico, it enables the legal Mexican in the US to vote for a candidate of his choice regarding NAFTA matters and vote in Mexico for a candidate supporting the same position, thereby doubling his effect on a certain issue. The same principle applies to Israel and is one reason Israeli policy has such a strong effect in our country.
Does it make any difference to you that the voting in Mexico might be done as part of a "Mexicans abroad" district (really, a United States district)? This somehow seems wrong to me. Although a lot of people in Mexico might have even more reason to object to it.