My experience

Came down yesterday on United from through Chicago. Never got asked anything about it there or here. I bought a return ticket (with miles) for late April on a different reservation. So, I might learn something on my return to the US in April, if a return ticket to Mexico is required. Ya think?

What country's passport you use is likely a factor. If flying to the US on as US passport you would obviously have NO requirement for a "return" ticket. If on a Mexican or other foreign country's passport, quite likely. My understanding is that it is difficult to get a visa for the US from many foreign countries.