I had to make the same choice when I signed for my MZ3; Total loss policy from my insurance company or the dealer?
The dealer was very persuasive, and tried its best to discredit the insurance company's offer. My insurance company did the same with the dealer proposition. Both actually lied to me on the other company's offer.
Basically, here it goes : taking the insurance from your dealer (not Mazda, your Mazda dealer... very different!) might cost a bit less, but you're stuck with your dealer in the future (so choose it real well). You won't be able to buy anything else than a Mazda with this program, also. it's worth mentioning that you'll have to deal with two companies instead of one if your car gets it.
I surveyed about 15 friends of mine who purchased cars recently, and they all chose the insurer's protection. I went the same way.
TD Meloche Monnex (my insurer) gave me total loss insurance for free for the first year; next year, I should pay about 10% of my insurance fee to keep TLI on year 2, 20% for the third year, and so on.