Hi Tony Blue
I had a 2002 model with a similar issue, after extensive research I found out this is a common problem on the Mazda 6 caused by a lack of grease on the splined collapsable section of the steering column but it feels just as if a ball joint is failing. It is really easy to check, if you reach down in the drivers footwell just above where the steering column goes through the floor you will come across a male and female spline if you get hold of the female section (steering wheel end) you may detect a little bit of sideways play, this is what causes your mystery knock. I gather Mazda sell some special grease to re-lubricate this with but I just used a smear of cv gease and it fixed it a treat. You need to disassemble the lower section of the steering column to do it properly which is a 2 minute job. With the front wheels set straight you can undo the pinch bolt that holds the lower end of steering column onto the steering rack just as it comes through the floor then the lower part of the column can be slid out of the upper part greased and re-assembled. However unless you feel confident about tackling a job involving the steering it may be safer to leave it to a garage even if you have to explain what to do.
Hope this helps
Martin