There is but it may not be listed as a main dealer update, e.g to put on as a default, if you go into your software version in the information option on your infotainment system Im betting you have either version ending 42 or, more likely, 45 (as is mine)
The speed camera warnings should be (according to the manual as shown on the Mazda site) in the navigations settings under "warnings" that is not present in the versions up to 45.
Release notes say it appears in CONNECT II Version 7000C0A-EU01_10047
Also in that version are fixes for display lockups and some issues with the navigation options glitching under certain circumstances.
Thats the software update you need applied.
It is possible to apply yourself but I really, really would not recommend that in case it causes issues with your system and then you get issues with warranty resolution.
As I mentioned my dealer is great and they really are helpful but they didnt know that this option was available on the CX30 and that a subsequent update was released. My guess is its generally only updated in order to correct another issue.
One other point, if you do have the later version and the warnings options are there I would recommend updating your SD card maps. Set some time aside for this as backing up my card and then updating took the best part of 3 hours when I did it which was nothing to do with my internet speed (380mb+)