People who say that closers on better teams will get more saves are arguing by logic rather than experience. Historically, some of the best closers have been on mediocre teams.
Instead of looking at a team's win-loss record, look at the margin by which they win or lose games (in other words, IMHO you are right, terpfan). A team that wins by its pitching (like the Braves have been for the last several years), generally scores fewer runs, so its victories will general involve save opportunities. A team that wins by its hitting (like the Rockies historically - when they win at least) will likely have fewer save opportunities.
All in all, a good closer will get his 40 saves, even if his team only wins 60 or 70 games. If all else is equal, go with the closer from the better team. If all else is not equal, just go with the best closer. In this case, I think Mesa is the better bet. If you have room on your bench for Urbina, pick him up, but don't take him just cause he's on a better team.