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.
