I've never heard of this but I didn't get into riding until about 4 years ago. If you are wearing a helmet without a DOT sticker on the outside and you take it off while pulled over the officer may look inside to check. Do Mexican helmets come with DOT stickers? You could make one if you want but that doesn't make the helmet any safer... That's all you need to worry about.
Oh yeah, my plate is 6R319, when am I not allowed to ride in Mexico City? It sounds like we won't be crossing paths this summer if you're going to be in Ontario.