Mazda Telematics - What is it?

[sm1ke]

It may simply be a case where they cannot permanently disable the TCU component on the car remotely, so instead, they send a signal to tell the TCU to disconnect, then Mazda puts a "block" on the line that the TCU would normally connect to if Connected Services was enabled. So even if you accidentally hit connect, the TCU may try to reconnect to the line but it won't be able to send information through.

This is all just speculation on my part, but if I were in your situations and I was curious enough to pursue this, I would choose Enable to get the "Connected" status, and leave it connected while I emailed Mazda to ask them to confirm the status, and explain how the TCU is disabled if it is still connecting to something.