I wouldn't worry about it too much as long as they stay out of the effective range of that suspicious looking purple lowrider '63 Chevy Impala with thirty bandana-clad gangbangers inside, because those cars don't do well in the desert and hey, they're only using 9mm's anyway, so the effective range is pretty short.
But seriously, if such a situation came up, it would literally create an international incident and that WOULD result in action on the part of both governments. Border security WOULD be tightened up, as desired, but in response to a situation that shouldn't have occurred.
And yes, the border patrollers would have the right to return fire across the border. They would likely do so with superior accuracy.
I don't know how the patrollers configure their teams, but they should have at least one man per team with a rifle that's set up for long range work.
CJ