I've never had an issue with my love for Japanese music, really. Maybe because it's very common for Mexican people to listen to music in English, which they don't even understand in a lot of cases. My mother is really into Italian music and it's pretty much normal around here.
There is a stigma for people who are big anime fans, though, but since I don't watch anime I haven't experienced it. Video game fans don't have that problem, it is perceived as nerdy I guess but it's not a big deal
On the other hand, supporting any country that isn't Mexico during the World Cup can be a problem
Mexico loves soccer almost as much as it sucks at it.