I post this answer only to leave trace of what ended up happening during the trip.
Going from Tijuana to Europe
On the way back
At the train station, I was asked to show, along with my passport, either my proof of reservation (email) or my plane tickets for the inbound trip. I just showed the email from AirFrance and then the girl did not care anymore about the plane tickets so I left her with that and it was OK.
There appeared to be some sort of problem with my reservation and so I was specifically asked to show my train ticket in order to obtain my plane ticket. Note that I was travelling with a colleague and no one asked for his train ticket. But again, he had no problems at all with any part of the trip, and therefore I am compelled to state that it is highly recommended to complete the whole trip in order to avoid any "surprise" penalty fees.
Accoriding to Air France, you can’t skip the train journey
If you are traveling in the order of "train + plane", you must complete your train trip in order for your flight ticket to be valid.
Your ticket will simply be voided with no recourse as you would likely be counted as a no-show for the whole journey.
To add to the answer :
This train (CDG-Brussels) is the only France-Belgium train run by SNCF (French national rail operator) and not by Thalys (the rail operator of all IHST (International high-speed train) services between France and Belgium)) due to a partnership with Air France.
It is treated as being a Air France operated service so all the usual procedures for a flight are in place including a separate terminal at Brussels.
As a business traveler you may have a flexible ticket that would allow you to cancel the train journey though.
Credit:stackoverflow.com‘