It's the Tlatelolco bowl. It is a skatepark (no other obstacles other than the ones visible in the screenshots you posted). Adress: Jardin de la Paz, Calle Flores Magon, Del. Cuauhtémoc. Not the safest area but you should be fine as long your generally careful. Would suggest going during the day. As for other spots, the Alvaro Obregon monument inside Parque de la Bombilla is a must!
3:48
Based on the spots your interested in, this bank right outside the Chabacano metro station would probably to your liking
San Agustin skatepark is this cool bank to ledge bowl. It was one of the first skateparks in the country (used to be a bank to curb). Despite it being a skatepark and also not really transition, most people seem to be cool with it getting being used in videoparts. Off the top of my head, Mark Suciu and Karim Calendar have had clips there.
You'd probably love Guanacacha which was the first skatepark in the country, however I definitely would not recommend going there by yourselves. Area is super dangerous, if you plan on going there I highly recommend going with a local whose familiar with the area. I've never been there myself but I've read/heard warnings. Most likely won't be any other skaters there
https://es.foursquare.com/v/skatepark-guanacacha/53292b67498ea71c1be264d7