Let me first say, I'm not going to be combative... in fact, I will probably make this post and never reply again...
The pictures do not tell enough of the story. I would LOVE to see the connecting rod. Did they find the clip? If your pin had actually fallen out, it would be severely damaged. The most damaged part of your pin looks to be right where the connecting rod sits. If I had to guess... I'd say the connecting rod came apart... but I don't know. I am legitimately curious to see more.
Secondly, I work in the automotive service industry. I buy about 40 new vehicles per year. When an engine blows, it's not the dealer's choice about who gets covered under warranty. The engine is pulled and analyzed by corporate representatives. They will make a clone copy of your ECM and send that out to Mazda as well. As well as accompanying pictures. If you truly believe that your car with a big turbo and chopped up ECU harness isn't going to be picked up on by people who's job it is TO find stuff like that.. you're being very foolish.
I don't doubt that they'll go ahead and do the work- I'd just get everything in order because you're going to get stuck with a bill at the end of it.
I wish you luck, but I don't think you stand a chance- regardless of how good you are in with your dealer.