I have little confidence in automatic transmissions so my recommendations may be a bit conservative. Just for the sake of full disclosure.
Definitely don't wait until the fluid turns brown or black and/or starts to smell burned. Change it while it still looks OK and has not yet broken down to the point where it may no longer be providing minimum acceptable performance. This is maintenance job, not a repair - the idea is to keep things working properly, not to fix a problem caused by failure to do proper maintenance. Over the life of the car the cost of doing regular ATF changes may equal the cost of replacing a transmission (probably not, but maybe) but not having to deal with the hassle of having a transmission fail makes it much more than a break-even thing.
At 4 years/41,000 miles I would definitely have the filter changed and a proper flush and fill performed. Not just a drain and fill job, which will only change about 3-4 quarts of the ~8 quarts the transmission holds. I also consider a big transmission cooler
a virtually mandatory upgrade for any ATX vehicle.
For fluid I would say you are definitely safe to use genuine Mazda brand M5 fluid from the dealer - Mazda is not going to sell junk that will wipe out your transmission. An equally viable option is Motorcraft FNR5 ATF
. This fluid meets the same M5 spec as the Mazda fluid which is expected as it is what Ford uses/recommends for the ATX in the Fusion, which uses the Mazda6 power train.
Various other M5 compatible ATFs are available from the regular suspects like Castrol, Mobil, Amsoil, etc and I'm sure they are all fine. Even with my skeptical/conservative views about slushboxes if you install a good trans cooler and go with 30,000 mile change intervals I would say the expense of a synthetic fluid may be overkill, but it certainly will add a little safety margin and/or peace of mind.