Yeah I just took a torch to a soda can with some valvoline full synthetic in it. It definitely burns with a noticeable amount of smoke.
It will burn cleaner than conventional because it has less contaminates in it though.
Actually... most "synthetic" oils are actually nothing more than highly refined conventional oil called "class 3". They label them as synthetic, but they are not really made from man made base oils, they still pump them out of the ground. Last time I checked, all the major brands were this type of "synthetic"... mobil1, syntec, synpower, rotella T, royal purple. The only two brands I know of that use man made base oils are redline and amsoil. Might be why they cost $9 a quart.
I run synthetic 2-stroke oil in my dirtbikes because it makes them smoke alot less and carbon up alot slower. This might be part of Mazda's thinking. If they can't fix it right, at least minimize the carbon buildup and visual smoking.