As a Canadian I got my TN at the port of entry. I've talked to Mexican nationals who said they had to go to a consular and pass an interview before getting their TN.
Unless this has changed recently, this comment is not true.
I read @proberts comment to say Mexicans are more successful than Canadians at getting TN visas. That the Mexican process is more onorous does not necessarily influence the outcomes. Maybe, that a Canadian TN application is solely decided at the border works against it.
Unfortunately AFAIK there are no published statistics for TN approval rates.
It might also be worth noting that TN is not a dual intent visa like H1B.
Unless this has changed recently, this comment is not true.