Where to go through customs in Mexico?

I am flying back to the United States (Oakland) from Cancun to Guadalajara. We did not approve immigration or customs in Cancun, because the first leg was national, but it seems that we do not need to clean immigration in Guadalajara either. We were able to transfer flights without having to pass an immigration control. Currently, we are waiting at the door in GDL. Is this a cause for concern, since we do not seem to have to register an exit from Mexico?