On the insurance front, companies may well cover WLS, but the employers who buy the policy may choose to exclude that benefit to lower their (short term) cost. If you are dealing with job provided insurance, there may be other providers available during the open enrollment period that do provide the WLS benefit, or it may be worth your while to go with an outside policy that does cover it (though I suspect that it wouldn't be worth the cost, but worth checking out,) or changing providers if you are already on private insurance if the costs work out.
On Mexico, there are lots of people who have a very positive experience and there are plenty of good surgeons there; however, you don't have the recourse there if something doesn't work right - surgically or contractually - which is a big part of the reason that they are cheaper. Due diligence is the word of the day. In the States, you can shop around and see who has the friendliest self pay programs; IIRC, there is a program around Las Vegas that seems to have fairly friendly rates of around $10k or so for a VSG, which isn't that much higher than the better MX programs.