In certain countries (incl. Mexico) you can't order your own federal police certificate (vs. the FBI for example). It is only supplied to other governments for official purposes so you need an official request document (original) from the Embassy in Mexico. The Canadian Embassy won't supply it until you are far enough along the process that it makes sense for them to do so, hence they mail it out after preliminary review of your application.
And then, if you live in Mexico, you have to go to the federal police's HQ (PGR) to place the request, then go get your fingerprints taken by their forensics department and then pick it up 10 days later. If you don't live in Mexico, the Canadian Embassy requests it on your behalf after you send them a bunch of docs.
So, be happy you won't need to do it since your husband hasn't lived in Mexico since he turned 18 - it will shorten your process, relatively speaking