you could also use an adapter to run the sensor in the tailpipe. this is more or less what a dyno run would do, take readings from the tailpipe. either way you are tuning from a 5 volt air to fuel ratio. for the most accurate reading, yes 36 inches downstream from your turbocharger is where you want to be.
EGT is somewhat redundant in my opinion when you have a wideband. i know some people disagree with me on that.
could a technician void your warranty if you weld in a bung and run a wideband o2 sensor? sure, he could make the argument. we voided warranties at my dealership for boost gauges and boost controllers that were sitting in the trunk, uninstalled, based off the customer's intentions - hows that for cruel? can you fight the dealer or mazda on that? sure.
like it or not, modding your car is a pay to play situation. there is always going to be a risk of getting caught, always going to be a risk of doing harm, whether those risks are major or minor. part of modding your vehicle is acknowledgement of that possibility of risk. can the risk be minimized, certainly it can. can it be eliminated entirely? i guess if you don't want to modify the car period then yes it can. analyze the modification you are about to make and weigh the possibilities and gains. knowing your dealer and having a good relationship with the dealer is also something. if adding a sensor to the stock exhaust is going to make your dealer flip out, then i suppose adding an aftermarket exhaust is totally out of the question? if thats the case and warranty is paramount to you, that dealer may not be the best dealer to go to.
just my .02