Upgrading CX-5 Muffler and warranty

Not by law. Magnuson–Moss Warranty Act prevents this. If your car required warranty work after you installed the aftermarket muffler, and the shop deigned coverage because of the muffler, they would have to prove that the muffler caused the issue.
 
The dealer - and Mazda - can deny a warranty claim any time they want. It happens all the time. There are paths of recourse certainly, arbitration or civil suit. People cite the Magnuson-Moss Warranty Act all the time, it is sometimes called the Federal Lemon Law. The use of aftermarket parts is just a tiny portion of the Act. It mentions the use of aftermarket parts - which really was intended to protect the consumer who for example replaces the alternator with a less expensive non-factory part. To whom does the dealer have to “prove“ the part caused the problem? Most consumers won’t file legal action over it.

In the OP’s case, If his engine burned a valve or blew a head gasket, etc. the dealer and Mazda could deny a warranty claim. Would they? Some dealers have. Most dealers probably would not, but it does give them a potential reason to deny the claim. Balancing the risk is up to the OP, after all it’s his vehicle.
 
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