I wouldn't get an Xede, see if you can get the factory ECU flashed instead. Not sure if Chiptorque are doing this yet, but others around the place are. There are a few places on the northside, one which will be recommended to you is Allstar Tuning at Brendale, they look after the Grand Prix Mazda 3MPS racing cars.
Your choice of CES exhaust is a good one, great product. You shouldn't get CEL's. One of the guys on the forum here works at CES, I'm sure he'll chime in and let you know.