No. The CX-5 uses wheel speed sensors to monitor tire pressure issues and these sensors don't need to be replaced when changing wheels. My aftermarket wheels don't cause any issues with the sensors.
I recently had a screw embedded in the tread of one of my tires. The TPMS alerted me of the problem, I found one tire was about 4 psi lower than the rest. I didn't see the screw so I added air and made a mental note to check it out. But, over the next two days it had not lost a single psi of pressure. So I kept driving it. Then it alerted me again 5 days later and I saw it was almost 4 psi low again. I also saw the embedded screw so I had it patched.