Over the last month or so I observed this issue a bit more, and I came to think that what is causing the decrease in power is actually the AWD system, that kicks in at different levels, based on different factors. Certainly the drop in temperature, coupled with slippery road conditions accentuate the issue. To some degree, I think this is a normal thing for a AWD vehicle:
http://www.superstreetonline.com/how-to/engine/modp-1005-drivetrain-power-loss/ but I am wondering if anybody else notices when the AWD system is engaged in their cars as well.
I wish Mazda would have given me a switch to be able to enable/disable the AWD (it would have come really handy now in troubleshooting this issue).