Change the oil whenever you want. I've worked in manufacturing/rebuilding/machining/assembly and will always recommend an early 1st OCI on any new engine. So, my recommendation is to dump the factory fill asap.
I also believe that the Mazda6 tech and club forums have collected some UOA info, that might help you decide on the oil/filter/interval.
There is no best filter or best oil. Nothing wrong with using the Mazda OEM or Ford Motorcraft filters. I prefer the cheaper ST/STP/Premium filters for the 3k maintenance mineral oil crowd.
If you plan on 5k or 7.5k maintenance, use the OEM, Motorcraft, Napagold, pureone, Mobil1, Carquest premium or any of the more fancy filters......
I would use Mobil1 or any other full synthetic oils. Even though 5w20 is required, the engine will run fine on any synthetic 0w20, 5w30, 10w30, 0w30.......so weight choice isn't an issue.
You're stuck with either UOAs or owners manual recommendations for the time/mileage intervals.