I lived in CDMX and this sound (among several others) made me resent the city. All the Mexican's I knew didn't mind it and seemed to tune it out. If you like peace and quiet, living in Mexico City is not for you.
Glad I'm not the only one! I visited with my girlfriend recently (she lived there a few years ago) and I immediately hated that recording. She seemed somewhere between indifference and endeared.
I actually really liked CDMX, but I also resent that sound.