Even sovereign countries have a problem with brain drain. I assume that this would even be more pronounced with states. I don't think New Mexico 's job market can compete with some other parts of the nation.
It would be better if there was a national policy, to keep a level playing field. Otherwise New Mexico is just subsidising someone else's economy.
Presumably, it promotes an educated populace in such a manner that helps grow their economy and tax base.
I live in an economically conservative state (South Carolina) and we've long offered a variety of incentives (partial tuition funded via State-run Lottery) as well as some amount of technical college coverage for much-needed positions, e.g. aviation and automotive work. Seeing as Boeing, Volvo, Mercedes, BMW all have production facilities in-state it works well because those taking these courses are staying in-state for work.
I'm not a New Mexican (or an Old one, for that matter :p) but I would hope they've some idea of university graduate economic migration such that they feel this will benefit them.