Took the P5 back to the place I took it (and the van) for an oil change last weekend. Dru's been smelling something since the oil change, and while it's not unusual to get a little oil on the exhaust or something and have a burning smell for a few hours, it is a little odd to have it for a week and ~300 miles or so.
Turns out, the filter wasn't sealed properly and some oil was leaking. The good news is, it wasn't even leaking badly enough to read as low on the dipstick and the shop was cool about it and just re-did the oil change for me for free. Honestly, we all make mistakes, and what really shows your merit is how you deal with them. This shop took good care of their mistake, so I'll probably go back to them.
Moral of the story: If something smells funny, especially right after having work done, check it or get it checked.
If we hadn't taken it in, it could have leaked enough to have killed the engine. If it had, the warranty wouldn't have covered it because it would have been an oil starvation issue, and really not Mazda's fault.