You are admitted to Mexico on an American visa, and that's why you took it off the flight - I can not say since you did not say exactly where you took it. In Frankfurt you must have a visa-free transit.

With a valid American visa for entry into Mexico is allowed without additional visas or electronic permits. It's very strange that you were not allowed to go, it should not be like this. It is true that in March 2013, when I transplanted in Frankfurt, I explained this circumstance to the employee of the Frankfurt Frontier Service, he rummaged in the computer, apologized and missed. Since such a flow of passengers (with American visas to Mexico) is very small, I think not all border guards on the move can determine the possibility of visa-free entry.

You should consult the airline , which issued you an air ticket. In theory, you only need a visa in the US, since you are flying to Frankfurt after Frankfurt right away, for Mexico, you do not need a visa if you have a US visa. The fact is that Frankfurt can ask for a Schengen visa, although for those who fly from Moscow via Frankfurt, a visa is not exactly required, but for those who travel from Kazakhstan, there may be other requirements.