The OEM hitch uses a 1.25" receiver and yes, it does need the rear bumper to be manually notched.
I had a situation where pre-purchase the dealer indicated that the OEM hitch is a 2" receiver (my absolute requirement), but when the hitch actually arrived and was installed, it turned out be 1.25" -- be warned. In stark contrast to sranger's seat experience with his dealer elsewhere in this forum, my dealer (Kiesswetter Mazda in Kitchener, Ontario) went totally out of their way to fix this: they replaced the OEM hitch with my choice of 2" receiver hitch, left the OEM wiring harness in place, and because the new hitch did NOT require the bumper cutout, they REPLACED MY ENTIRE REAR BUMPER. Wow!
So, in summary, OEM hitch is 1.25" receiver and requires a bumper notch. At least some aftermarket CX-9 specific hitches do not require a bumper notch. In my case, the after market unit is a Hidden Hitch. Looks and fits great, 2" receiver, and 4000lb towing rating (the CX-9 is still 3500lb, but it's nice to have the mechanical margin and the effective increase in tongue weight rating to about 400-450lbs).
Lexx