If anyone has had the OEM sunshade damage their dash, please consider contacting Mazda. There is an email address and phone number on their website. Mazda has told me they are forwarding complaints to the department that decides on recalls and stop sales and if there are enough complaints, they will pull the sunshade.
On another note, my WeatherTech shade arrived yesterday and it seems to work much better. It still fits very well and covers the entire windshield snuggly but is flexible and much easier to install.
Lastly, be careful with this dash in general. After talking to detailers online about repairing the damage, it seems these soft touch dashes are very fragile. If it is hot, any pressure you put on it will mar the finish. So whether it is a sunshade or wiping it down or any other interaction with the dash, do not put pressure.