While I've seen Class 3 weapons at gunshows - all potential sales strictly and very closely scrutinized, heavily regulated and astronomically priced - virtually all of the grenades, mines and other "Destructive Devices" I've ever seen (outside of active military service many years ago) were legally Deactivated War Trophies, dummies or training models.
I can't recall EVER seeing "live" grenades or mines, plastique or any of the other scary things that're supposedly so readily available being offered for sale by anyone, anywhere except in TV and movie schlock. Maybe I just don't get around enough.
It's way past time that illegal immigrants, whether they've sneeked in or overstayed their visas were summarily chucked out, with dire consequences for repeaters, as soon as they're identified. It's past time for the end of 'chain' migration other than immediate, nuclear family and the automatic pass for the illegally entered parents of so-called "anchor" babies, too.
Build "The Fence". Make it as difficult as possible to cross undetected and the consequences for anybody caught on the wrong side of it immediate, dead-serious and certain to be whole lot more unpleasant than a night in the tank and a bus ride.
Armed incursion should be met with immediate, overwhelming deadly force and treated as a military security matter rather than civilian law enforcement problem whether there are uniforms on the interlopers or not.
If the Mexican government is worried that there are too many firearms coming their way then it needs to deal with the factors like rampant institutionalized corruption, organized criminal enterprises and official indifference to the law on their side of the line.