the reason why it's always best to change the transmission fluid filter (which I believe in integrated into the pan) is because this filter is containing metal shavings that broke off from your transmission during the initial break-in procedure in the early stages of your cars life. yes it's not probably not gonna go anywhere (although it might) but do you really want those metals to just hang out in your transmission pan?
transmission fluid is a common-wear item. it becomes dirty, contaminated, and loses its effectiveness to protect the transmission components over time. while it may not be to the same extent as what engine oil goes through, that doesn't mean you should just totally neglect your transmission. and the transmission filter - imagine getting back home from work, taking a shower, and then putting your dirty work clothes back on. that's essentially the same thing as changing your oil and leaving the dirty old filter in there which is why I don't suggest to do just a drain and fill. the only problem with removing the transmission pan (to replace it with a new one that has a clean filter) is that you're gonna need to seal the new one with some sort of gasket to prevent leaks. to those of you wondering why Mazda doesn't suggest you change your transmission fluid - it's because the transmission will eventually fail, and they are hoping you bring it into the dealer for a very overpriced repair because you will NOT experience any sort of failures before your warranty expires, assuming everything is in good working order. it is all a scheme so that they make more money, and other manufacturers like BMW are doing the exact same thing. don't fall for it.
anyone ever wonder why high mileage automatic transmissions always have issues with hard shifting, slipping, and even complete failure? you're very unlikely to see an auto transmission make it to 200K miles unless that unit was regularly serviced. now you know...