I agree with most of the other posters. Likely was simply tire grip (or lack thereof) in the inclement weather.
Hard to know, for sure, when driving in inclement weather. Hard to assume it was the car that "decided to do it on its own." But it's a good bet it was tire grip loss due to that nasty wintry-mix crud on the road, ice, etc.
A winter road with that stuff coming down has patches of road, here and there, with ugly grip. Ice, slushy globs that can cause a sort of instant ice sheet when striking them, hydroplane-worthy puddles, and so forth.
I've occasionally driven over smaller rocks, small tree branches or other crud, such that the grip at that wheel/end was temporarily lost. Strange things can happen when speeding along and something knocks the grip out from under the car.
About the only real way to counter this: have proper tires for the conditions, and slow down to well within the performance envelope of the tires+conditions.
Plus, the CX-5 is a rather shorter vehicle. The CX-9, for example, has another 9" more wheelbase. Which I'd fully expect to counter more of these "surprise" situations involving low-grip inclement weather at speed.
Over the years, I've driven a handful of AWD rental vehicles along with having had a Subaru 4WD, a VW (with their 4motion AWD) and a Mazda CX-5. Of all of them, the 4Motion system seemed the most-capable of eliminating all surprises. Never did slip off the road, spin, lose the front end grip, or any other nastiness; everything went as expected and hoped-for, even when pushing a bit in nasty winter weather. I don't know, for certain, what VW put into that 4Motion system, but it was very capable. All situations, all surfaces, all conditions, always resulting in easily-handled sketchy grip loss. Every other car, though, would offer up a tad bit more surprise when striking some road impediment like these. Including the CX-5, which seems better than most (to me), though not as capable as that 4Motion system.
My own choice: year-'round tires such as my current Nokian WR G4 SUV, or going with 3-season set of rims/tires and a separate winter-only set of rims/tires. Much safer.
Once was, I lived in an area of the country with lots of wintry mornings in the ~25-35ºF range, and with roadways that had lots of cliffs on one side, water on the other. IOW, no room for error. Combine with lots of elevation changes and speed changes due to winding roads, as well as lots of critters, it made for hair-raising driving at times. Particularly when stormy, icy. Used an AWD car with a set of Nokian Hakkas, back then. And wouldn't have done it any other way. For all the obvious reasons.
I've never heard the center diff referred to this way.
