Actually, pmh is right. Yesterday, when I got into the car, I turned on the auto, set the temp high and then killed the AC. That shut the auto light off as usual, but this time I didn't mess with the fan settings or anything. A bit later, I noticed that the fan speed had increased, and the fan was not just blowing onto the windshield anymore. So, the auto settings do still work if you turn the AC off, even though the light has gone out. Obviously, it won't cool the interior, or turn the AC on if you want to defrost the windshield, but if it's just cold out you really just need the heater anyways, so you can just set a temperature and always leave it there and it will work apparently.
Smart move by Mazda to have it run that way, actually. Adding to this, yesterday I noticed that the windshield wiper speed slows down if you're in variable speed mode and stop the car. I'm wondering what other neat features there are in the car I haven't figured out yet...the wiper thing isn't in the owners manual.