and what about police stations?

Well traffic police (transitos) are usually a separate police force from the others. It isn't like in the states where say a traffic cop across the border in Laredo could probably detain you for any arbitrary criminal offence they caught you doing as well. In Mexico traffic cops deal with traffic offences and that's about it. I don't know about Nuevo Laredo, but where I lived in Mexico the transitos have their own police station, and going there wouldn't be like going to a police station in the states or something where they also take common criminals. It's mostly a bureaucratic nightmare, waiting in lines, one to register, one to go pay, one to collect your documents, etc. Not really a sketchy place.

But yeah, I can understand in Nuevo Laredo, staying as far away from the police as possible is probably a good idea.