Pyrotechnics and La Señora de Guadalupe (Tonantzín)

I had no idea the sale of fireworks was banned. As a foreigner, I don't feel comfortable with the idea of approaching vendors and explaining that what they are doing is illegal.

That isn't at all what I recommended. It's not your place to say anything to a vendor of a banned or controlled product.

No hay permisos para venta de pirotecnia: Reglamentos