Oh contraire! The costal road from TJ down to Ensenada is an amazing ride. While I've never taken my MV south of the border, I have taken a few other bikes and never had a problem. That's not to say you won't have a problem, but my own experience has been very positive. I think Mika has had some good fun down there too.
my only south of the border expereinces were while I lived in El Paso when I was much much younger, heading to Juarez. I'm sure that Juarez and TJ are on opposite sides of the border town spectrum then...cool. All I know about TJ is what I've seen in the movies.
Last weekend I did a 3 day ride w/some buds from SD, to Mexicali, to San Felipe, to Ensenada and back through TJ. If you are staying overnight pick a hotel nice enough to have a guard shack in the parking lot. A lot of gringos that run dirt bikes in Ensenada stay at San Nicolas (Baja 1000 central) which has a 10 ft high fence the guard locks. Good Hotels I've been to in TJ include Grand and Pueblo Amigo.
I always take my ST4 on these trips. Autopista 2/3? east of Tecate has some good fun 2 lane wide seperated highway through the mountains east of La Rumarosa. It's my fav road right up there with Highway 18 going up to Big Bear and Rim of the World. I'd post a google earth aerial but that map is fuzzy.
Guys be careful down there...a friend is now a parapalegic having hit a large pothole (the roads aren't consistent) on a blind turn. Hit the hole, went over the front, landed on his head. It took over 10 hours to get him sufficient medical attention....He nearly died...