Captain,
It's too bad that this had to happen on your first experience. I've been there many times alone and have never had any prob. There were quite a few times where I walked by myself on Revo. at night, but not a hassle from the cops, more from the people trying to hawk some stuff. After hearing the horror stories on this board I don't think I'll be doing that anymore. Nowadays, if I do go I mainly hang out around Adelita and Chicago, no more roaming the streets for me. I have been stopped and searched once about 10 mos. ago, but only had a 5 on me so wasn't too much hassle, even kept my 5 (details in another thread).
It is a fun place with some good benefits, but the f'ed-up cops just ruins it. Too bad, as I am sure it's the Americans that really feed their economy down there. Never been to Rosarito, but been to Ensenada a few times and never had problems with cops down there, but then again the action in Ensanada is not as good as TJ. Happy hunting.