If my best friend is 22 and is in a relationship with a 15 year old, what legal worries does he have if the only contact they've had is through explicit text messages?

First we have a situation where an adult who is seven (7) years older than the fifteen (15) year old minor are texting messages that are presumed sexual in nature. Such is poor judgment on the adult's part where his conduct could be deemed as a contribution to the delinquency of a minor. If your best friend had any smarts he would cease contact with this minor.

Your friend is actually at risk for a much bigger charge than "delinquency of a minor."  New Mexico, like most states now, has a penal offense called "child solicitation by electronic communication device."  It is found at N.M. Stat. Ann. 30-37-3.2.  The simple act of texting someone who is younger than four years of age than a defendant and encouraging the child to engage in any sexual conduct or act (even to perform the act on themselves), is a fourth degree felony.  He can try to claim that he was "never going to touch her", but the statute does not accept the "fantasy play" argument as a defense.  This statute punishes for the mere communication alone.  If convicted, not only will he have a felony on his record, he would also be required to register as a sex offender in most states.   This isn't just poor judgment on your friend's part.  This exact same conduct has been devastating for many young men who never thought that their "sexual joking" could result in such a severe penalty.

IF for some horrible reason she decided to take a picture of herself performing one of these acts with no clothing (or minimal clothing) and send it to him and that picture is still on his phone-- then he could face an additional charge for possession of child pornography.... which is also a state and federal felony offense.

As a side note, even if your friend is not in New Mexico, he needs to be aware that most states have very similar statutes.... so regardless of where he resides or the minor lives, he is at risk of a serious felony.  Most of these statutes have venue provisions which allow a defendant to be prosecuted where they live or where the victim lives.  Potentially, he could be hauled off to another state to defend these charges if it crosses state lines.