Hello, and welcome, FooF!
Congratulations on your upcoming wedding
The visa only grants you the ability to get on a plane (or other commercial means of transportation) and travel to Canada. They officer at the border then examines you at the border for admissibility based on the facts at hand.
From what you say it sounds like, based on the information available, the officer concluded it was likely that you would decide to overstay in Canada and therefore decided that you were not admissible (giving you the option to leave voluntarily instead of being denied entry). This is interesting given your wedding plans in Mexico - did you already have the wedding plans at the time?
There are likely notes in your file with details of your interaction and how exactly they treated your entry. That means CIC and CBSA will see them in future interactions with you or your file (e.g., should you try to visit again or when they process your application) and, if they considered it a denied entry the officer should have advised the Mexico VO of the refusal.
It shouldn't cause any issue with your PR application - beyond potentially a second review by a more senior officer - since it doesn't render you inadmissible as a PR. In fact, ironically, the fact that you were trying to visit your fianceé in Canada is just additional proof of the relationship you have with your wife that will support your PR application.
In contrast, depending on what specifically occurred,
trying to reenter as a tourist could be very difficult (even if your visa was for multiple entries and if it wasn't cancelled). I would suggest considering consulting a lawyer to minimize hassle/trouble/longer term consequences and taking extensive proof of your return to Mexico should you need to try to travel again as a tourist. There's also several threads on here where people have shared how they avoid miscommunication of intention at the border but it is ultimately up to each specific border officer and the circumstances at the moment you intend to enter. For example, some people have their fianceé travel with them (e.g., if your fianceé is close to the border and you have a US visa, fly to the US and have your fianceé pick you up).
Hope this helps.