I have the same issue. 2017 FWD GT. Car seemed fine at delivery, but didn't get it above 60ish. After a few weeks I started noticing a pretty significant vibration and the wheel would physically vibrate anywhere between 55-70mph if I took my hands off. Brought it in, they road force balanced it and it was still there. Then they swapped the wheels/tires with another brand new CX-5 that had just arrived and it did nothing. That point they the dealer said nothing more could be done, so I initiated a lemon law complaint. They got their final attempt and even the Mazda corporate rep who rode with me took 30 seconds to say it wasn't normal. They had the car for a week checking everything but in the end couldn't find anything wrong and re-balanced the tires yet again. That improved it at the time probably 90% where the wheel wasn't shaking anymore but you could still feel a general vibration in the car. Went back to Mazda about it and they basically said they believe it to be normal and "road feel" and that was the end of it. I notice it most in the mirror visors which vibrate and which my old CX-5 never did. Meanwhile when they had my car I had a 2016 loaner that was much smoother overall.
Anyways, it ended up coming back, so I wondered if the new Toyos they started using were worse then the old ones, so I actually dumped the Toyos with 10k miles on them and got the Pirelli Cinturatos. Another slight improvement but it's still there just a little bit. I actually had the dealer service my car recently and they rebalanced the tires then and the vibration came back in full force, so I took it to an independent shop that had a Hunter machine and per them 3 of the 4 wheels had to be completely broken down and rebalanced. Back to about 90% fixed but still a little vibration.
I'm at a loss for what it could be. Multiple techs have said it's nothing in the suspension system that they can tell, brakes seem ok, and the independent shop said the wheels/tires are checking out ok on the Hunter machine. I have noticed that my wheels do have a pretty high number of weights on them. One has 17! I know in this new generation CX-5 they went to a rigid mount for the steering rack and are relying more on the dampening in the suspension (hence one reason for the fluid filled bushings) so I wonder if that has something to do with it if the car hits a certain harmonic frequency or something. I also have issues with the clunking/creaking suspension and had that taken care of per the TSB but it didn't go away.
Overall I'm pretty turned off with the 2017 and kind of wish I had just kept the 2014 I had. I'd trade off less road noise and extra features to go back to the old ride.