That's just OEM paint for ya. It looks good aside from the orange peel, but you have to keep in mind that OEM clear coat is extremely thin, thinner than a Post-It note. I would just live with the orange peel and maintain the paint as best as possible. My car has basically been completely repainted due to an accident and some other highway driving woes and there's orange peel here and there. But I've polished my paint to near perfection and the orange peel is something I can live with.
Also, I have a 2007 Mazda3... a.k.a. the rust bucket. Your car should have a 5 year, unlimited mile corrosion warranty, but if you happen to see any rust forming on your car within the next few years, I wouldn't be surprised if Mazda didn't do anything to honor their own warranty. I'm probably going to trade my Mazda in on a 2013 Scion tC and never, ever get another Mazda. They simply don't stand behind their product even when I was still in the rust warranty bracket. They're bastards and they won't get any more of my money, that's for sure. Just a heads up for you.