There are two styles of radiators (and radiator caps) on the Proteges. Denso, and Calsonic. I don't remember which uses which, though.(monkey2) Edit: That's why there's both the pink and the green Mazdaspeed radiator cap. (silly)
And yes, when you turn off the car with a higher pressure radiator cap it's going to come out of the overflow if you shut the car off quickly. Don't use this radiator cap unless you know why you need it.