Incorrect, this is actually one of the few "engine" differences between the MSP and other Proteges.
Check where your oil filter screws on, you should see a sandwich type oil cooler between the oil filter and block.
And these engines burn through oil for other reasons, an aftermarket oil cooler isn't likely to help. It has to do with the baffles of the oil pan, baffles in the valve cover, PCV system, oil pump, bad BPV that causes your turbo to compressor surge and blow oil past the seals after a while.. so pretty much everything oil related is kinda sketchy :/
Don't abuse the engine, switch to synthetic oil (I personally use Mobil1 5w-30), and check the oil level at every fuel fill up and top off if needed. It's kind of all you can do without dumping a bunch of money into aftermarket parts that still aren't guaranteed to fix the problem :/
And an example of things going wrong even when you do spend the time and money to "improve" the oil system.
http://www.mazdas247.com/forum/showthread.php?123804112-bad-oil-system
