Well, here's something interesting. My P5 was also making a whistling noise—identical to the one heard in the video. It's been making it for quite some time, and only under heavy acceleration when the tach hits 5,000+ RPM.
The other night, my CEL decided to light up and say hello. Checked the gas cap, it was tight. So I scheduled an appointment with Mazda dealer to diagnose it. Diagnosis: failing CDCV.
$440 CDN, whistle is gone. After leaving the dealership, I accelerated up to about 5,500 RPMs and no noise. Not that I could hear anyway. I tried a couple more times and nothing.
I almost considered purchasing a new muffler as mine's a little over 144,000 KM old—but, I haven't had any exhaust problems yet, other than a broken bracket.
I guess there are a number of things that can cause these cars to whistle (like a sexy, new 3 hatchback driving by). I'm just glad I didn't have to fork out 3,000 for mine to disappear.
Just thought I'd add in my 2 US.