There are a couple of plausible scenarios here. The CIA is not infallible. First, they simply didn't have photos of every single person who entered the embassy on every single day. Imagine how many such embassies existed around the world. How many photos that would have to be taken. How many agents would have to be assigned to do nothing other than take such photos. Second, perhaps the CIA did capture images of Oswald and maybe even tape recordings. After his death, however, they decided it was not worth revealing their means and methods of surveillance by disclosing the photos and evidence to the world. The Cubans/Russians could easily reverse engineer any such evidence to determine how the Americans were spying on them and take countermeasures to undermine those methods.
Regardless, it makes absolutely no sense for anyone to fake Oswald's presence in Mexico City. His defection to the USSR was more than sufficient to characterize him as a political nut if that was the objective. And, of course, an assassin doesn't have to be a political nut. There is no reason in a conspiracy narrative to fake this incident and it is fraught with risk as a faked event if anyone else could place Oswald in another location during this timeframe.
The HSCA concluded - through the so-called Lopez Report - this:
The CIA said their pulse cameras were broken, not working. But one would think a backup manual surveillance would have been done. Apparently there wasn't. So, if you have a conspiracy mindset that sounds sinister. If you have a "this is government at work" mindset it sounds plausible. One of the problems with the conspiracy advocates is they simply refuse to believe that the CIA or government simply screws up, is incompetent, gets things wrong. Have they ever gone to get a driver's license? A pothole in the road filled?
Anyway, call me a cynic but I think the same people like Scott who reject all of the existing evidence - physical, eyewitness and circumstantial - that Oswald went to Mexico City and visited the Cuban and Soviet facilities simply would not accept CIA photos of him there. They just wouldn't.
Oswald sent a letter to the Soviet Embassy in Washington discussing his visit. A draft copy, in his handwriting, was found. Here we have evidence from Oswald that he went there. Scott's response is, of course, they are fake. My above cynicism isn't groundless.