I'm in the same boat. I recently "upgraded" from the base radio to the touchscreen radio. The USB and aux jacks in the console both work. I have not tried installing Bluetooth module or the steering wheel controls with the extra buttons for voice command / answer / hang up. My non-Bluetooth steering wheel controls do not work. Do yours work?
The main reason I swapped the radio was to see if I could access the vehicle menu using the setup button, but unfortunately the vehicle menu is not accessible. It shows up as an option, but I'm not able to access it. I'm not sure if adding the Bluetooth module will make it active, but that's my next step. The diagnostics menu in the head unit shows no DTC's and reports no CAN bus errors. The biggest problem with this project seems to be the lack of necessary wiring harnesses in the car. Adding Bluetooth or navigation to a sport model is possible, but it's probably not worth the time or expense to getting it done.
The only reason I'm going through all this is to change my car to unlock all the doors with a single button press. The dealer says it's not possible even though it says it can be changed by the dealer in the owners manual. I might try calling Mazda North America to see if the owners manual is wrong or my dealer is wrong. Reviewing the CX5 service manual, I was thinking that the head unit or Bluetooth module sends a CAN bus message to the RBCM (Rear Body Control Module) for the lighting options or the SSU (Stop Start Unit) for the locking options. Not having the "advanced keyless entry" may play a role also. Is there such a thing as a CX5 w/ touchscreen and no Bluetooth? Is the vehicle menu accessible? I haven't given up yet, but the more I read the more discouraged it get.
Does anyone with an aftermarket head unit have any spare parts I could buy? I'm looking for a Bluetooth module and microphone. Or could anyone provide information on the wiring harnesses for the Bluetooth module? From what I can tell from the service manual, less than half of the pins in the connector are used, I'm counting 11 wires on the big connector. I'm guessing is small grey connector used to pipe Bluetooth audio to the head unit. Anyone care to drop their glove box to confirm? No tools required! Take the opportunity to check your cabin air filter while you are in there, mine was filthy.