Some of my IT friends who work at client's sites applied for Visas in mexico and got it. I don't think there should be any problem unless the applicant was previously out of status or changed his status (for eg from B1/B1 to F1 and then H1) or his course of study at college did not match his professional interest (eg English major working as an IT consultant); but I am not sure why that hapened--these are just assumptions.

However, make sure that these denial cases are not rumors. Usually, it should not be a problem for anyone on H1B working for a company (even though the above written examples have occured--these are just rare instances).

Good Luck to you.