On another level, it's a critique of the idea that exporting capitalism to 3rd world countries is a good thing. As Denzel tracks down the bad guys, they claim, "I'm a professional." (two baddies say that), and "I'm a businessman."; Mexicans have capitalism, but they don't have the requisite level of government (rule of law) to make it work (every other cop is crooked). For grinz, count the US-exports in the film (SUVs, guns, alcohol, RPGs, 2 black-ops soldiers, and a self-centered wife/mom); this is not a US-foreign-policy-rocks! film.
There's also the satire element; Denzel is redeemed by methodically torturing and killing those involved in corruption. He's (presumably) paying for torturing and killing for corrupt governments at the behest of the US. How would we feel if he was torturing and killing people involved in the Iran-Contra affair (Ollie North, George Bush, etc.)?
I don't think this film deserved these words:
He [Tony Scott] might have gotten away with that [threadbare plot] in a movie of more modest length, but "Man on Fire" clocks in at close to two and a half hours, and needs more depth to justify the length.