I'm pretty sure the Sport Exhaust is the same as the round tip MS Axleback. It was made by Borla but it said Mazdaspeed on the tip, so it was referred to as the MS Axleback.
The Racing Beat sport exhaust for the regular Protege and Protege5 was only made as a full catback, and had a dual-wall and single wall oval tip instead. It was also branded as a Racing Beat exhaust, not Mazdaspeed.
Then there is the 03.5 MSP axleback which is also made by Racing Beat but branded as a Mazdaspeed muffler.. so you can see how this can get really confusing lol.
I bet you'd like my Magnaflow a lot. It's just an axleback and adds a nice growl to the engine. Not loud at all, and also doesn't drone on the highway one bit. It's in the FS section, let me know if you're interested.
http://www.mazdas247.com/forum/showthread.php?t=123745468