That's a misconception I had as well. The sway bar is not supposed to bend, it is supposed to twist, or rather keep from twisting. This is why the sway bar end links MUST be at a 90 degree angle from the sway bar, because you want the force from the end link to only rotate the sway bar.
Imagine looking at the car directly from the driver's side. The sway bar actually rotates around an axis, which is the attchement point on the vehicle (our bushings). If the car wasn't in the way and the endlinks weren't attached, your could draw a circle with the end of the sway bar as you spun the bar around.
The endlink also spins around the strut bracket and makes another circle. Where these two circles intersect is where there is no flexing on the sway bar or end link. Since the two radii are bolted together think of any place where they do not intersect as either pushing or pulling on the sway bar. You want the two circles to intersect at 270 degrees (straight down) on the endlink circle and 180 degrees on the sway bar circle. This is how Mazda designed them or any manufacturer for that matter. It is not supposed to stop the car from traveling up and down just one side traveling without the other.
If you lower the car, which lowers the axis of the sway bar, you will intersect some small amount past 270 degrees on the endlink's circle, and just before 180 degrees on the sway bar. Now when one side travels upward, some of that stress (cosine of >270) will actually bend the bar instead of just rotating it. If you think about the intersection of the circles as where the stress on the sway bar goes from pushing to pulling, if the bushing isn't completely tight around the bar, it will spring back once you level out and make the infamous clunk.
The concept of adjustable links and "pre-loading" a sway bar is complete nonsense. All you are doing is taking stress that should be going into twisting the sway bar and instead bending it, reducing it's effectiveness, creating non-linear response, and shortening the life of your bushings, sway bar, and end links.
Any improved handling that might result is because you are altering the torsional strength of the sway bar by bending it, but I believe this would be more than offset by the force that is being wasted bending the bar instead of leveling the car out like it is intended to do.
I'll try to draw something up this week in inkscape or something to help explain this better.