Yes. According to the owner's manual for the 2007 CX-9 with AWD, this is normal when the AWD is engaged due to tire slippage... (Mine is FWD only)
"AWDWarning Light...
This warning light stays on for a few seconds when the ignition switch is turned
to the ON position. Thereafter, the warning light will illuminate or flash under the following
conditions:
- Illuminates when there is an abnormality with the AWD system.
- Flashes when the differential oil temperature is abnormally high.
- Flashes when there are continually large differences between front and rear wheel rotation, such as when trying to pull away from an icy surface.If the AWD warning light illuminates: If the AWD warning light illuminates, contact an Authorized Mazda Dealer.
If the AWD warning light flashes: Park the vehicle in a safe place. After a few moments; if the warning light stops flashing, you can resume driving. If the light does not stop flashing, contact an Authorized Mazda Dealer."