I haven't been able to come across any 100% verifiable information on the matter, but what I've discovered is either A) You just have to buy the stock antenna to get it to work, or B) Indeed, our head units don't have the ability to install satellite radio.
I own a 2015 Mazda 3 iSport, which also has the satellite feature grayed out. I figured, much like the navigation, there was an easy way to install satellite radio if you have the touchscreen head unit. I haven't pulled mine apart to look yet, but I've read that there's a wiring harness for the XM antenna that connects to the head unit. Made sense to me, but I've also read that our models don't come with that wiring harness, and therefore you can't install an antenna? I'm not sure what to make of that information unless I tear apart my dash...surely, if we were never destined to get it in our cars, there would be a quick option in the infotainment's firmware to remove the XM option from the audio sources completely, rather than just gray it out. After all, the safety features I don't have (blind-spot monitoring, cross-path detection, advanced cruise control, etc.) don't show up on my screen at all.
My dad had an issue with his 2013 Toyota Tacoma not coming with a satellite radio antenna either, despite it being offered as an option. When he bought the truck, he lived in Hawaii (where you can't get XM service)...despite the truck being ordered with satellite radio, it was never installed at the factory in Mexico, where his truck was built. He was able to solve the problem himself by ordering the part and installing it himself, after several trips to different Toyota dealerships all yielded the same result (nothing), and e-mails to corporate about the issue went unanswered. My point with that story is don't totally trust what the dealership says. They may be partially right, but unless someone here can definitely prove me wrong, I'm willing to bet its just a matter of going off the beaten path to find the part and wiring it up.
Getting a standalone XM unit might be easier and cheaper, but if you're looking to integrate as much into the infotainment system as possible, I'd dig a little deeper to see if another Mazda dealership or sites like eBay have a corresponding part for the XM radio. I wish I could help more than that, but I'm just making do without the satellite radio because I hardly ever used it when I had a standalone unit in my old Mazda 2, and I'd rather just pay to use Spotify, Pandora or Google Play Music on my phone.