I would try using cheaper 10W-40 oil. That way the oil cost is still in the "reasoanble" range.

Euro Car parts / Car Parts 4 less have a good offer on 10W-40 semi synthetic. It is around GBP13 for 5 liters including delivery.

I still suspect you must be loosing it via the turbo seals. Is the intercooler and pipes covered in oil or is this clear?

These Mazda engines seem to have a lot of issues.

Q.

Yes it has a DPF.

Not sure what you mean about pickup strainers but my engine has not had a problem with pick up strainers.

Just search the forum for Mazda 3TS engine failures. Simply, the problem seems to be a too-small oil strainer in the sump which gradually blocks and starves the engine of oil, often at quite low mileages.

Once had a brand new oil filter go almost from fitment. Badly assembled by manf, the can was relying on the exterior paint to maintain a seal between the can body and screw in section with the result that oil was being ejected under pressure and straight down to the road. It's possible during service the new filter may be either faulty or the sealing ring hasn't mated properly with the engine. Worth a look, try taping a bag over the filter, give it a run and check for any losses.