This is the o2 sensor and connection. When I look on the CP-E website there is only really one option after I specify "Mazdaspeed6" which is this (see link below) which is exactly the same as mine
MazdaSPEED6 3" SS Downpipe System | Custom Performance Engineering
**EDIT** I see what you mean, on the drop down menu, I would say the "Welded in wideband o2 bung" is what you would need. You can see mine is welded so there is only two options to have what I have which is the welded wideband o2 bung or the one with the cap. I got no idea what the "cap" is so I would put my money on the $50.21 extra.