Once you get SA your application (as sponsor) is completed.
The person you are sponsoring will also get access to e-case with their contact info. Also, you should get a link to see that application from your e-cas (logging in as sponsor).
I assume you are referring to the Mexican Police Certificates (from the PGR). The instructions at http://www.cic.gc.ca/english/information/security/police-cert/north-america/mexico.asp used to have the address to send them to in Miguel Angel de Saavedra). They've removed the address (says Date Modified: 2015-02-23). You could try asking them where to mail to to with a case specific enquiry or simply send off the requirements as it is the VO address ... check your Sponsor Approval for the address (or search this thread). Note that for the photos I suggest you look at the specs directly at http://www.pgr.gob.mx/Servicios/Constancia/antecedentes%20registrales.asp as they are very specific.
The photo requirements you mail in with the application vary a bit depending on the Visa Office and are listed in each country specific instructions. For Mexico, you should be fine.
For the police certificate photos, see links I mentioned above.