IF you have the AEM intake, will this be an ISSUE when you go to do the recall work?

I think that'll be up to the dealership, some are cool and some aren't. Try calling them without giving your name and ask them prior to taking the car in.

Nope

Is it ok if you go to different dealer other than the Dealer send you the recall letter?

I believe you have a choice to go to whatever Mazda dealer you wish to.