Round trip required?

Aren't they just ensuring you don't just illegally hang out in your travel destination like a hobo?

The reality is we need a Subject Matter Expert. We are just speculating. But I do believe you are correct regarding the policies of some countries. However, in my humble opinion, it is not the airline's job to enforce this unless duly authorized by the country's immigration officers. We are fairly certain that Mexico has no such policy so the Delta agents are either woefully misinformed or just blowing smoke and seeing if the hapless sucker goes along with their toothless edict.

Here's a delightful story of one such encounter with a country that does enforce "onward ticket" rules.

Article enumerating which countries have "onward ticket" rules.