0w20 oil. Any quality 0w20 oil will be fine. I use Castrol. Some use the Mazda Moly oil, but it will cost more.
Use a Mazda oil filter as they are cheap. There are 2 available, the one made in Thailand with part number: 1WPE-14-302. The other is the Mazda Value Line filter, made in Mexico. Both are good, but if given the choice, get the Thailand filter as it seems to be of better overall quality. Again, the Mexico filter is still fine though. As always, use a new crush washer on the drain plug each change. They are $1/each.
Owners manual has 2 different schedules which are 5k intervals for the severe schedule, or 7.5k intervals.
I don't know anything about these oil monitors the new CX-5's have in the infotainment system, sorry.
Also, I'd read your owner's manual is it has all the maintenance schedules listed. One caveat being the transmission fluid (some folks leave it alone, others do periodic drain and fills), and it's not explicit on when you should change the rear differential and transfer case oil, but that's a good thing to do what...every 30k miles or so? Someone can correct me if wrong there on the interval.