Got the car for 3 weeks now and there is a message on the gauge screen today:

Tire Pressure, Increase Pressure

I bet it means the pressure is low? I checked 4 corners, all are 37 psi when cold, which is higher than 35 psi recommended. (Though I use a 5 dollar Walmart gauge) The message still comes up after initialize the TPMS. What should I do? Ignore it? pump it to 40? (The car arrived as 40 psi in four corners. )

The TPMS can be reset using the button inside the car. I'd get your tires to the pressure you want, then hit the reset button.

Speaking of pressure...I measured my tire pressure after receiving my car (Touring, so I have the 19" tires). I got 39psi on 3 tires and 36psi on the 4th. Since Mazda's recommendation is 35psi, I reduced the pressure in the "overinflated" tires to match 36psi in all four tires. But I also see people posting about using higher tire pressures. What do people on here think the "best" pressure for these tires is?

try re-initializing the tpms by pressing and holding the tpms button.

^^ What he said. Pick a pressure that you see fit and reset the gauge to read it from there.

As for what pressure to run, it's mostly preference. Higher pressure (to a point) gets you better mpgs while lower pressure (again, to a point) gets you better handling and control.

I would stay between 34 and 40 at all times to be safe. Personally I like 37. Little bit more grip than fully pressurized but I'm not losing much mpg-wise.

Tried to reset the TPMS. But the same message keeps coming up everytime I start the car. Do I need to disconnect the battery to initialize it?

Some Update

The message is in yellow text and a spanner sign on the top.

Initialize the system as mazda app video indicated, not start the engine, hold set button until beep. The warning message immediately comes up after release the reset button.

Tire pressure is still 37 all around by manual check.

Where is the TPMS supposed to display at? I press the button and it does nothing. Sorry for my ignorance.

TPMS only displays when the tire pressure is off. It will be a light on your gage cluster. It blinks a few times when you "set" it but thats about it.

From TSB link on Mazdas247:

https://docs.google.com/file/d/0B-sY...Y1E/edit?pli=1

The message shows in the small screen in the dash, where ave mpg/ avg speed / fuel level is shown. I guess it was referred as type A in the manual. It is NOT the tire pressure warning light. below the rev counter.