I suspect this kind of transportation is far more common than most people realize.
The U.S. Nuclear Regulatory Commission says that "3 million packages of radioactive materials are shipped each year in the United States."[1]
As for security measures: "The shipper must also meet the Department of Transportation's requirements for shipment of the nuclear material including route selection, vehicle condition and placarding, driver training, package marking, labeling, and other shipping documentation."[2] I suspect most of this was in place, or at least the Mexican equivalent.
Nothing about armed escorts is mentioned for general transportation of radioactive material. For spent nuclear fuel, "armed escorts [are required] in heavily populated areas."[2]
For another data point, here's a supplier of Cobalt-60's page on their safety: http://www.nordion.com/gamma/nordion_cobalt.html Again, there is no indication that armed escort would be expected, simply secure vehicles that won't leak radiation while delivering it or in the event of an accident.
All that said, Cobalt-60 is used for sterilization of medical equipment, radiotherapy, food irradiation, and quite a few other things. It's probably not that hard to obtain if you really want it.
[1] https://forms.nrc.gov/materials/transportation.html
[2] https://forms.nrc.gov/materials/transportation/shipping.html