I believe Car & Driver did both test with stock tires. Dunlop for the P5 and Goodyear for the Mazda 3.
I have owned a 2002 P5 automatic from new, it now has about 69800 miles. I also have a 2008 Mazda 2i sedan with the Touring Value Package. It is also a sport automatic transmission. The 3 has around 10800 miles.
I realize the 3 isn't a 5 door. It is only about 62 lbs. heavier than the P5. I agree everything is a little softer on the 3. I didn't like the steering feel at first. I have driven both cars over some very twisty roads, 226A between Little Switzerland and Marion, NC. Also Brushy Mountain Road out of North Wilkesboro , NC. Both roads have turns marked as low as 15 mph and each road has many turns.
The 3 has better turn in in the corners and feels closer to neutral steering than the P5. I have not timed the runs but drive them a brisk pace and to be honest I cannot tell which car actually handles better. They both handle better than any other cars I have owned. I once owned a Isuzu Stylus XS with Lotus tuned suspension that was close. With the P5 on those roads it's more fun to drive, but you have to work a little harder than with the 3. With the 3 you don't feel like it's quick but a quick glance at the speedometer you find yourself going a little faster than you thought. In the Car & Driver test the 3 had 14 ft. shorter braking distance than the P5 from 70-0.
The 3 with TVP does have a leather wheel, both wheels are about 14 1/2" diameter. The steering wheel telescopes on the 3. The 3 has a much bigger glove box. I find the seats in each car are about equally comfortable. I don't like the ride of the P5 on rough Interstates, I-40 through Oklahoma for example. The P5 is noisy for us old people.
I'm an old guy so my thoughts may be different than yours. I prefer the 3 for long distance trips and like the P5 for short trips and local driving.
FWIW, I get about 3-4 mpg better fuel mileage with the 3.
Clifton