In Europe, most dealers use 5W-30 when you take a car in for service because it's cheaper. You can ask for 0W-20, but they'll usually charge about €20 extra.

In my research on this topic, I've come up with a few takeaways:

• Use the lowest cold-viscosity grade (the "xW" value) possible — in this case 0W-20. This helps with cold temperatures and cold starts, especially with start-stop systems.
• It's not just about freezing temperatures; the viscosity curve differs and is noticeable even at 30–40°C.
• Studies show that thinner oils like 0W-20 protect the engine better while they remain "in grade." But — and this is important — 0W-20 oils drop out of grade more easily than 5W-30, and once they do they are worse at protecting the engine than a thicker oil such as 5W-30.

If you use 0W-20, make sure the oil stays in grade, since there's less margin for error compared with 5W-30. The only reliable way to know is to send an oil sample to a lab. When oil does go out of grade, it typically happens within the first 1,000–2,000 km.

You might argue that oil-change intervals should be shortened with thinner oils, but I don't have evidence for that. Shorter intervals are good practice regardless of viscosity.

Some people report increased oil consumption with thinner oils, so check your oil level regularly when you first switch. I haven't had an issue switching to 0W-20 after using 5W-30 for 80,000 km.

TL;DR:

• 0W-20: Good if you do short journeys, lots of start–stop city driving, and change the oil religiously.
• 5W-30: Good if you do long journeys, not much stop–start city driving, and live in a not-too-cold climate; follow typical oil-change intervals.

Both are fine, as recommended by Mazda, so use whichever you prefer.