In any even, let's say the law back then was the same as today.
Would you have been in favor of arresting the Holy Family and sending them back to Herod?
In favor - probably not. But, that was the law so, if you are making an equivalent to today, then my answer is yes.
Let me amend my answer. Yes, I would. I fell into your trap of seeing them as the Holy Family instead of what they were - illegal aliens.
I find it interesting that you would equate mexico to Herod's reign. It's probably true but it still doesn't make it our responsibility to house every one of his refugees.
Or, maybe you were saying we should be on the lookout for an hispanic family where the father is named Jose, the mother Maria and the son Jesus. Who knows they could be the second coming. But, would God's sense of humor give them the same names?