I think it should have, but Mazda is strange in this respect.
Every other electronic Diesel I know has an in tank pump.
Possibly it needs this procedure, from another thread:
Spoke to the dealer that said they use a vacuum pump to encourage the fuel through the filter. What I did:
Took the filter assembly back off the car using 678hug's excellent instructions
Unscrewed the cartridge and and filled it to the brim with diesel.
Reattached the cartridge to the filter
Poured diesel into the 'in' of the filter until it flowed from the out
Attached an old hand pump (which I'd bought and never used from B&Q to pump rust inhibitor into a radiator) to the hose(marked red) on the car that would be attached to the input of the filter and pumped until fuel appeared. Something purpose built like http://www.drapertools.com/product/43986/Expert-Diesel-Priming-Pump might do the job better
Reattached the 'in' hose(marked red) to the filter trying not to let too much air in!
Attached the pump to the out of the filter and pumped until fuel appeared (to fill the filter)
Followed the hose(marked white) away from the filter up to where it joins the top of the engine and disconnected it from the engine
Used the pump to pump diesel into this hose to fill it from the end that would be connected the filter
When fuel appeared at the end of the hose at the engine I quickly fitted the hose to the top of the engine then to the filter
Turned the ignition on and waited 30s - not sure if this would help to pump diesel to where it needed to be
After 2 or 3 presses of the Start button (with my fingers crossed) the engine started.