For high performance brakes like Corksports, yes. But for regular street brakes? There's no need.
Pedal feel is largely influenced by servo motor, and stopping power is largely influenced by the grip of the front tires, so considering that replacing the pads/rotors on this BBK may be a bit of a challenge, I think it would simply be best to just stick to German OEM stuff such as Textar/Ferodo/Pagid/Jurid pads and Zimmerman rotors.
Being that this is a Japanese car, most of those brands don't manufacture pads or rotors for it. I have used Zimmerman on the e39 and honestly, it was no better and possibly slightly worse than the OE branded parts. Just that they were quite a bit cheaper so that was a plus.
For Mazdas, and most other Japanese brands, the only choices outside of OE are usually Centric, Brembo, Akebono and EBC amongst the larger name brands. Also, it's not just the grip of the front tires, more aggressive pads make a significant difference in braking power AND pedal feel as well. On my old SC400, I experimented with a few different brands, some made the pedal feel worse and more vague than stock, other more aggressive pads gave it a confidence inspiring bite as soon as I depressed the brake pedal.