I have personally worked on more than a fair handful of these cars and it's there
and I did look at the picture you posted, idk if the transmission is just grimed up too much inside the bell housing to see the holes or if that trans isn't specifically from a 3rd gen 2.0L protege...but I know for a fact that those holes and gromets are there on every single msp I've done oil pans on
please don't shut down what I'm saying until you go and take a look at the bottom of your car, I respect your knowledge of these engines but I also know from first hand experience working on many of these engines as well that they are there...I also know for a fact on two of them that I've worked on have not had their transmissions drilled for that considering they are either the original owners or I know the original owners personally
now granted, the only msp's that I've worked on that particular area were 03s, idk if they made any revisions to the bell housing for the 03.5s or if there were any differences in parts on any msps that were produced at different factories (hell, I don't even know anything about whether or not they even produced the msp at different factories, but that's irrelevant)...what I do know is that I've used those holes several times both on my car and on other's, and the casting of the flywheel is no coincidence
it's not a far stretch that mazda could have produced them with and without those holes...