Officially, no early oil change is needed.
Modern CNC machining and sonic cleaning result in tighter tolerances and less break-in wear.
Furthermore, Mazda uses synthetic oil with a high moly content that minimizes engine wear.
That said, I'm still "old school" enough that I have an early (1,000 miles or so) oil change performed on all of my new vehicles.
It's likely a waste of $, but it satisfies my ocd tendencies when it comes to car maintenance.
Bottom line ... early oil change is neither necessary nor recommended.
OCD individuals like me do it anyway.