The location of the OBD-II connector in the Mazdaspeed is a mixed blessing. It is easy to access for the type of diagnostics intended by the manufacturer. But, if you intend to drive the vehicle with VersaLink or another J2534 pass-thru adapter connected, you need to move the cable for safety's sake.
There are two options available. A right angle adapter cable is available from numerous sources, typically for under $20. This will substantially reduce the distance that the cable protrudes from the factory OBD-II connector. Search for a J1962M - J1962F right angle adapter.
The other option is to remove the factory OBD-II (J1962F) connector from it's mounting location. There are two tabs, one on each side of the connector, which when pressed in allow the connector to be backed out of the mounting bracket. Once removed it can be connected to the J2534 pass-thru device and safely tucked behind the center console. Be sure to secure and support the cable so it does not hang from the wires or come loose while driving.
Whichever solution you choose, be certain that the pedal assembly is unobstructed and that the cable is not able to become tangled around your feet. SAFETY FIRST !!