This may be a little more complicated than it has been made out.

Jilliebeans, I have no idea whether your friends in Mexico will purchase a NA key for the game, or a PAL key. (I think we can safely assume that they will not be purchasing a JAP key.) The reason this is important is because your game key needs to match the account you sign into. Example I have to sign into the mog station via the EU mog station page. There is a JAP page and an NA page. The game key needs to match your SE/Mog station account type.

Personal example - my sister lives in the US, had been living in the US for several years when she bought FFXIV on Steam, only Steam gave her a PAL key. She went to make an account, SE/mog station directed her to the NA account creation page she made an account and then all of the sudden she gets told her key is invalid. Steam wouldn't give a refund, SE wouldn't switch it for a NA key. SE's solution was telling her to make an EU account, which she did. She used an old address where we'd lived in France as children and then changed it later to her US address. (Since this was years ago they may well now allow for addresses outside the various regions to be listed on creation.) Unfortunately for my sister when she went to buy HW Steam gave her a NA key. Frustration ensued and eventually SE swapped the key for an EU one so she could put it on her account. I bought SB and SHB for her, since my gifting via Steam thus far has generated the appropriate PAL keys that her account needs.

Does this apply to your friends, I don't know. I'd like to think that Mexico and Canada are both NA keys, however I do have some Canadian friends who have bought boxed copies that gave them a PAL game key.

Outside of ensuring that your SE/Mog station account matches your game key region, there are no region locks. Your friends can play on the same server as you, though depending on where they live and their ISP their connection to the game may differ greatly to yours.