Based on this video, his 2017 Mazda CX-5 XD L Package 4WD diesel is not only noisy, but also having plenty of smoke when he revved the engine.
Are you sure it is smoke, not water vapor? I am sure there is nothing wrong with that car and that it would pass emissions, better than most US diesel trucks on the road today. Keep in mind the engine was just started. My gas engine also stinks right after I start it.