No, that’s never concerned me. It’s very rare that someone will get picked for military service and only males born in Mexico who reach 18 years are eligible. If they somehow happen to get picked through the lottery system, they will be most likely be involved in social work around the country (e.g. planting trees, hurricane relief, teaching, etc). It could be a great experience.
Naturalized citizens or those born outside Mexico can’t be picked for this military service and would only be called into service outside of peacetime (i.e. WW3). By that time I would have escaped to a more peaceful country where I’m citizen or resident.