Yes, the push for xW-20 oils (and thinner) has been for fuel economy reasons. That doesn't mean it's bad for protection. It's complicated.
xW-30 might retain thicker films in the highest-temp, highest-shear areas of the engine. xW-20 will reduce wear before the engine gets up to temp, which is when many of us will be causing most of our engine wear. What's the net effect? None of us here has any idea one way or the other. It will vary from case to case based on variables most of us can't even comprehend let alone figure out.
Plus, if you buy an xW-20 oil that meets modern specs, there's actually more of a guarantee of high quality base stocks than if you buy an xW-30 that meets the same specs. The lower the viscosity grade, the higher the base stock quality "floor" to prevent it from cooking off too easily. Again, what's the net effect for either viscosity grade? Impossible for us to say.
You know who knows? Mazda. What's the probability they'll share what they know? Zero.
All we can say for sure is that any oil that meets the manufacturer's specs will work well enough that it probably won't be the liming factor on engine life. Isn't that what we're all trying to achieve?