1. Whether or not it's worth it performance-wise is a very subjective thing, but personally I would say yes. Fuel savings are noticable but not huge.
2. Around $1700 to $1800 installed. That would include time on the dyno and custom tune. I dont think you would find anyone who does the Xede for much cheaper than that
3. It's a no-no for warranty, but some dealerships are more flexible than others. My local service manager hasn't batted an eyelid re: my mods, but then again I haven't done anything major. Keep in mind though the Mazda techs would notice the performance increase and most likely see the processor when you take it in for service. Personally I would leave getting this mod done until after warranty runs out.
4. I've talked to Silverwater Automotive Services and they are very knowledgable guys. Have heard good things about their work from satisfied customers.
that's my 2c worth