OK, so I did a little more checking on this oil grade requirement thing being different between USA/Canada, and the rest of the world (Googling basically).
For some technical reason, 0W20 gives a slight increase in MPG's versus 5W30 or higher.
The difference at the most is maybe 1 MPG, but given the strict laws and regulations in the U.S., Mazda has to do everything it can to get to the required targets.
5W30 provides better engine protection than 0W20, especially in hot southern states like Arizona, Texas or Nevada. Running 0W20 and driving in extreme hot weather, (and driving with a little zoom zoom), can cause the engine to overheat a bit. The oil just gets too runny and doesn't provide the protection it needs. That's also why the turbo engines need the thicker oil, to protect the turbo.
On page 6-26 in my user manual, where it states to use 0W20:
"Oil with this trademark symbol conforms to the current engine and emissions system protection standards and fuel economy requirements of the ILSAC (Approval Committee) ...."
On the next page:
Except USA and CANADA
Use SAE 5W-30 engine oil. (their bolding, not mine)
"A chief contribution this type of oil makes to fuel economy is reducing the amount of fuel necessary to overcome engine friction."
And lastly on the same page:
(Mexico)
Use SAE 5W-30 engine oil.
If SAE 5w30 is not available, use SAE 5W20 engine oil.
Well, that pretty much says it all.
5W30 it is.