I know some of this is over a year old, but it still applies...
The FS was in a bunch of different cars with completely different exhaust systems...and because of that, comparisons between 4-1 header systems to 4-2-1 systems are meaningless, as there are other variables to consider.
The stock protege exhaust system has a very long mid-pipe, and because of that, most aftermarket headers are relatively short....but some FS equipped Mazda's had much shorter mid-pipes (the 626 for example, compare the first page header pics to that of a protege header...you'll see what i mean)...The way a header couples definitely does make a difference in where it helps VE, but in general...as 4-1 is usually better for high end, where a 4-2-1 is considerably better at mid-range...if everything else is equal...
and thats the tough part for 3rd gen proteges...none of them are 'equal'. You have the ebay 4-1 systems for like $100 that bolt right in...or a carefully designed and tuned 4-2-1 from AWR...both keep the same overall length...the AWR benefits from quality design, and consideration that an FS in general is not going to rev high enough to really exploit the 4-1 benefits...but overall...nearly ANYTHING is better than the factory crush bent down-pipe and pre-cat...so no matter what you do, you'll feel a difference.
then there are the real systems. The Japanese 4-2-1 header systems are specifically tuned (the Mazdaspeed header being a factory available part, but the Autoexe uses a chrome plating and the same dimensions), and over 8" longer than the systems for the stock exhaust. The problem with these though (i purchased a Mazdaspeed header in 2006'ish)...is that you have to modify the mid-pipe to accept the longer primaries, much like what the OP had to do with the 626 header.
comparisons between all these headers has never been done. And as i said, any of these things will give a noticeable bump simply from removing the crap the car came with. Anyway though, a short 4-1 is better than a short 4-2-1 for high end peak power...but a short 4-1 vs. a long primary 4-2-1 is trickier, and will depend on other modifications made to the engine.