I have the GT w/tech and have the climate control on and set to 72. During the winter should I hit the A/C button to turn it off or does the climate control need it to stabilize the temp?
Not sure about US models, but Canadian models will turn on the AC automatically when one of the defrost modes is used. This helps to dry out the air and defog the windows faster...and it works great in rain, damp, cool climates. So unless you never use defrost mode, your AC will be on frequently. Also, most modern cars will cycle it on some sort of schedule to keep it lubricated etc. Generally a few seconds each start, so I don't think you need to cycle the AC manually like in older vehicles.
I'm guessing that they A/C is turned on regardless of whether or not the light is on.
Yep, RTM. Canadian 2014 CX-5 manual has it on page 5-6: http://www.mazda.ca/MciWeb/pdf/manuals/2014/2014_CX5_8DB5-EA-13H_Edition1_E.pdf
Does this apply (to the US or Canadian models) even when the A/C light is off? There are times when I will turn on the defroster with the temperature setting at cold and the air coming out of the vents feels very cold assuming that the A/C is off. I'm guessing that they A/C is turned on regardless of whether or not the light is on.