I have an '11 R3- and recently cranked up the heater to fan speed 3 and 4, and a distinct, strong, gas-like smell comes into the cabin for several minutes- it goes away at fan speed 1 or 2-
my 4 yr old son even noticed it- its not the smell of other cars'/trucks' exhausts outside-
this is really the first time I've used the heater consistently-
any thoughts/is this something to be concerned about
thanks

 

I would say no..

You said it is your first time of heater use.

I suggest it is just vehicle newness, remember that your heater (like 99% of all cars) is from engine coolant through a mini radiator fin type core inside the center of your dash with air passing through it.

Yes, I would make sure you are heating recirculated inside cabin air, or if outside fresh air is being heated which can include other external odors entering cabin.

I would give it a few more uses and if the smell persists take car to your Mazda Dealer, not a common issue.