> if it actually wrapped around on itself with a half-twist, wouldn’t the letters wind up backwards too? Then 6-Down wouldn’t be MESSENGER but rather MESSENGER, and so on.

This premise is assuming the Mobius strip is transparent, which the header image clearly isn't. No letter-reversals or any symmetry is needed. On normal, opaque paper, you can just make a crossword as a normal long loop. (proof: Write GGGGGGG on one side of a paper, and write it upside-down on the other side. With a twist, you'll get one long GGGGGGGGGGGGGG... looping as if it were one boring single-sided loop).