I see you are new to the forum...so Welcome, this is the best information source you can find in the web about our cars.
I think a Mazdaspeed owner will give more accurate info in this, but as far as I know:
1. If you turbo your car, it's on your own. Mazda will not warranty any dammaged part directly or indirectly caused by the turbo. Get the money, turbo it, but drive safe.
2. Mazda do not sell Mazdaspeed turbokit parts, the only way to get them is if you own a Mazdaspeed Protege and want to replace a dammaged part on warranty. You will have to leave to them the original piece.
3. You can try it anyway to ask mazda to install a turbo with warranty, you never know. I think they can install it, but im sure they will not warranty it nor the engine/drivetrain. Try your insurance too.
4. A catback im pretty sure is not a problem to install (if done well), mazda even sells a Racing Beat Catback, but I dont know if this system is good for a turbo setup, I think is ok. I think I will get it over any other choice for my turbo setup.
5. Think about it if this is your only car. Ive got 2 cars, so I feel ok about turbo-ing my Protege5.
6. Use the Aftermarket Guide there you will find ANYTHING