I've been once in 2002. I'm sure things have changed. This is my recollection, foggy as it may be: when going to the Free Zone, it was as if you were leaving Belize, and when leaving it, it was as if you were entering Belize, so no, you don't have to go into Mexico, but you still have to go through the passport process. We got hassled a bit about what we bought, and I think the system didn't exactly seem consistent--a cop tried to tell us we had to give up the items (mind you, it was new at that time). From our standpoint, there was nothing too special, but I think for the Mexicans, it gave them access to goods at a lower price than they could normally get it.