Let me explain why Mazda doesn't sell this "kit" that you speak of, Art.
Here's the deal: HIDs are illegal if the car didn't come with them from the factory. I.e. if the car had a halogen-based system when it left the factory, then swapping that system for a xenon-based system* is against the law. This applies to both US and Canada.
No if's or but's. Doesn't matter if its a kit or a retrofit*.
Notice the two asterisks above. Here's what they mean:
* In order to be completely legal, the entire mechanism from a fully functioning OEM HID system, including the levelling motors (i.e. the vertical adjustment being mentioned in the earlier post), need to be retrofitted into the headlights. This would constitute a complete retrofit and would include OEM projectors, OEM bulbs, OEM ballasts, and the levelling motors.
Most of us who've done retrofits have only really retrofitted the projectors and a few other components, but not the levelling motors, and therefore we're still not legal.
Lots of info can be found on this topic on the intArWeb... here's a good site:
http://faqlight.carpassion.info/hl-current-regulations.htm
http://faqlight.carpassion.info/hl-hid-kits.htm
This site specifically singles out HID kits as being illegal, which is correct, however if you consider things more in depth, you'll realize that this applies to partial retrofits as well.
So, Mazda probably doesn't offer the necessary OEM components for sale, for legality reasons. And, honestly, if the components were to be sold, they'd be super expensive.