And now it's time for a breakdown, OP feel free to put this in your original post:
Front: (Height | Width | Weight)
2006-09 Mazda6 (v6) : 298mm | 25mm | 19lbs
2003-05 Mazda6 (v6) : 282mm | 25mm | 14.8lbs
2003-03.5 Mazda MSP: 273mm | 24mm | 13.5lbs
2002-03 Mazda Pro5 : 257mm | 24mm | 12lbs
Rear: (Height | Width | Weight)
2006-09 Mazda6 (v6) : 280mm | 10mm | 9.3lbs
2003-04 Mazda6 (v6) : 280mm | 10mm | 9.3lbs
2003-03.5 Mazda MSP: 280mm | 10mm | 9.3lbs
2002-03 Mazda Pro5 : 261mm | 10mm | 9lbs
From what I can find, the 2004 calipers are specific to the Mazda6, but the 2006+ calipers are also used on the Lincoln Zephyr, Ford Fusion and Mercury Milan. The other "perk" to this is that you have easily replaceable rear calipers; one could argue that they made a couple more Mazda6's than MSP's. As you may also note, there can be a significant weight gain along with the upgrade, in rotors alone I added almost 15lbs of rotating mass to my P5. Personally, it's my dd and I wasn't terribly bothered by it, but something to consider if you will be using your protege in a competition environment. Also, I didn't have to trim the dustshields to fit, obviously the front's are a little smaller, but they still protect the majority of the rotor. The rears fit with enough clearence, I wouldn't try to source the MZ6 dustshields unless you're really that worried.
Picture comparison, please excuse the fact there is no caliper in the Before picture, my car didn't come with front calipers
Before:
After: