Matthew, another thing that is interesting is the fact that the U.S. government responded with such umbrage regarding the death of Parsons, and took up his cause at the highest diplomatic levels. At the very time of Parsons' death, Generals Grant and Sheridan were beating the drums of war against Mexico, and were using the Confederate presence there as a pretext for a full-scale invasion. This came much, much closer to transpiring than is generally realized. 50,000 U.S. troops were massed along the Rio Grande, or were in the process of being massed there, and there was a lot of talk about the proposed invasion being just a continuation of the war against the Confederacy (a justification for war that was being made tangentially to complaints about the French presence there and its associated violation of the Monroe Doctrine).
Along these lines, a lot of messages were being dispatched into Mexico advising the powers-that-be to take care of the Confederate forces in their midst. With the Confederates aligning themselves with the French/Conservatives/Monarchists, the side that was on good terms with the U.S. government--the Liberals/Republicans--looks to have taken these U.S. entreaties to heart and massacred one of the most prominent Confederates in Mexico, along with his entourage. Parsons' murder would have had to have reverberated throughout the Confederate community in Mexico. As soon as the Republicans took full control in Mexico in the following months and the Confederates vacated Mexico en masse, the U.S. responded by demanding that compensation be paid for what it had essentially been demanding to have been done.
Matthew, for both you and Bill Gurley, perhaps accessing Mexican archives might be revealing, or contacting Mexican historians. I currently have a significant project of my own underway (there seems to be a bit of overlap with your project, Matthew, but not in a substantial way since it has a different focus). To illustrate the use of Mexican source materials, in 1919 Presidente Venustiano Carranza addressed the Mexican Congress. This address was afterwards published under the title of "Informe rendido al H. Congreso de la Uniožn, a renovarse el perižodo ordinario de sesiones el 1o. de Septiembre de 1919 y respuesta del C. Presidente de la Cažmara de Diputados." Carranza rants about Americans and provides a laundry lists of specific armed interventions by them over the years. Unfortunately, his diatribe encompassed the years 1869-1919. No doubt as a direct successor to the ruling Republican regimes, Carranza would have had a good bit to say about the one of the most significant American armed presences in the entire history of Mexico--the post-Civil War Confederate exodus there--had he chosen to to encompass the years 1865-1919 instead.