Not sure, but at the moment I see two problems:

1. All those oneway streets look highly suspicious to me. Just look for example to the north, there is a corner which basically is a deadend. Maybe you could examine the original data again, if these are really marked as oneways? If yes, I’m inclined to question the quality of this dataset.
2. I’m not sure, if the automatic connections done by Cygnus are of any use, at least in this case. A quick look at bing satellite imagery shows that only the main street is linked to the primary in the south. All the other north-south orientated streets connect to a minor, unpaved road which parallels the primary and doesn’t even seem to be in the INEGI data.

So, just based on the given example an import of INEGI data would probably need a lot of manual checking or you’d end up with something like TIGER all over again. Cygnus might be a nice tool, but it definitely seems to rely on the quality and completeness of the dataset. If that’s not the case, it just fails as shown above.