Windish Agency, the source from which the rumor seemed to have originated, "MCR will not be playing this fest."
RUMOR SMASHED! CASE CLOSED. NO FESTIVAL APPEARANCE.
According to an article on lifeboxset, My Chemical Romance are set to play México's One Music & Arts Festival on November 10, 2012.
However, the source site from which the article appears to have a screen-grab (pictured) has since removed all artist names from the festival line-up (if they were ever there to start. We must be skeptical, MCRmy.)
According to fan sources, the One Festival account tweeted that MCR would be playing the fest then promptly deleted. A search for a screen cap of that is in-progress.
I will keep an eye on this and follow up if official or more reliable sources post; however, for now, I'm calling it a rumor and saying don't hurt yourself by getting your hopes up.