My 2005 6 Sport had this feature. It was handy, particularly in hot weather. However there were some reports of owners returning to their cars to find them locked but with all the windows open. It was assumed that with the key fob in a pocket or similar, the unlock button had accidentally been held down so the car unlocked and the windows opened. Then, after 30 seconds as no door had been opened, the car would lock itself again but not close the windows. Another factor might have been that Mazda remotes did, and still do, work over very long distances. Maybe this is why the feature was discontinued?
I miss the ability to lower all the windows on hot days so the car can be cooling down a little as you approach it on my current 6.