Steering Wheel Vibration

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2018 CX5
I noticed the same thing as you on our 2018 CX5 when new. A very very slight sensation of vibration at highway speed. It was so slight I did not do anything and with time it has gone away on its own.
 
Mazda checked it out and said that everything is normal. Actually the loaner they gave me did the exact same thing. So I'm guessing it's the roads out here.
 
Mazda checked it out and said that everything is normal. Actually the loaner they gave me did the exact same thing. So I'm guessing it's the roads out here.
I drove 3 band new cx5s back to back and they all had a vibration. Mazda put Michelins on mine and it went away.

Its back with my winter setup
 
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Pueblo county CO
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CX-5 Sport 16.5 6M
There's a web site someplace that has locations of those Roadforce balance machines.

It doesn't seem like it should be necessary to go to the expense but it might work.