I wasn't necessarily recommending it for somebody up in your neck of the woods. For a guy ostensibly in Terrel, it's a great option. And I'd consider Mexico City and NYC very comparable in terms of crime. There are parts you don't want to go to, but the normal places a visitor are likely to spend time are pretty safe. Interestingly, insofar as murders go, DF is actually safer than Texas and many other US states. It's only when you get to the border towns that it becomes particularly shooty.
Altitude is only a problem at Red Rocks if the show is the first day you're there. Whole lotta steps to climb to get there. After a day or two you're more accustomed to the air and it's not really a problem. One of the times I saw Rush there, there were times where it sounded like Lifeson disappeared altogether. Middle of a solo he'd just go quiet for a few seconds and then reappear. That's how significant the wind can be.