UPDATE:
Resetting the GPS antenna by disconnecting the cable and reconnecting it worked for less than a day then same problem started all over again with the arrow went to no-man's land all over the places. I ended up reset the system by choosing to "restore to original factory settings" under settings (NOT by pressing the back/nav/mute buttons) and I also made my iPhone sync a few contacts that are on my "Favorites" contact list instead of sync'ing a long list of all my contacts on my iPhone. I decided not to sync a long list of contacts from my iPhone as I noted the navigation system took a long time to sync with my phone. After restoring the system back to original factory settings, that deleted EVERYTHING including the addresses saved in the navigation system so I have to put in some addresses into the navigation system including the "Home" address.
After restoring the system back to the original settings and only have my iPhone to sync a few contacts instead of a long list of contacts, the navigation system is working properly so far for the past week. Hope it's not going to act up again.
I wonder if the GPS with the arrow moving everywhere has something to do with the low memory capacity left in the navigation/entertainment system. I am sure the GPS needs to use some memory to store data in order to function properly. Not sure.
I actually thought about replacing the GPS antenna on my 2016 CX-5 and bought a new antenna from the dealer but they only sell the updated version of the antenna with a longer cable and the connector is slightly different so it won't fit into the plug (I could have modified the connector on the new antenna a little to make it fit but I ended up just throwing it away, what a waste of $60!!).
This is my first Mazda and so far with the navigation system issue above when my car is less than 4 years old and has annoying noises from the brakes (the dealer couldn't figure out what caused the noises from the brakes even they could hear it) since the car only had 7000 miles on it, I am very disappointed with Mazda's quality. I do not believe I will get another Mazda.