This is the guy who drove his previous Mazda like a grandma, as he admitted. Not worth a reply.
Re: dense air. Turbos prefer lower density. They don't have to work as hard.
https://www.turbodynamics.co.uk/media/blog/do-turbochargers-perform-differently-seasonal-weather.
"As air temperature increases the density of the air, and the amount of oxygen it holds, decreases. This means that the turbocharger has to work harder, spin faster and compress more air to produce the same amount of boost it would at lower temperatures."
This information is only correct in abstraction. Yes, generally speaking colder and more dense air is beneficial to a turbocharger, but there are other factors in play besides that. In fact it's pretty likely that the turbo itself is not really a contributor to the power loss issue. My assertion is that it is retardation of ignition timing, and after seeing the reply from the Mazda rep it makes total sense that the air/fuel ratio is also a likely culprit. The engine is deliberating de-tuning itself under these conditions as a protective measure. Most modern cars do this to some extent, it seems Mazda is just more heavy-handed about it than most. They may very well have their reasons too.
Now that the temperatures are something resembling normal (only a little below freezing) my car is running normally again and making normal power. People seem to be suggesting there is a lot of hyperbole going on in this thread but I've always been clear with my own posts that this is happening to me because it has been extremely and unseasonably cold in my part of the country. I also have not exaggerated the power loss. Twice the car was incapable of achieving interstate speeds, even with the accelerator floored. That's suggested more than half of the available horsepower is missing going by power to weight ratios and how fast the car should be able to go with a given amount of HP.
I think what people reading this thread need to take away is that unless you live further north and are going to be bothered by the fact that your car will run like crap when it's crazy cold out there isn't really anything to be concerned about here. This problem has limited scope.