I'm in the US and have the same nylon case as what's in the picture. I would think you would get a case in the car in Canada as well. Perhaps the dealer forgot to give you a full set, or someone took it while the car was on the dealer's lot?
In the US, the largest car market in the world, we don't get front parking sensors or a heated steering wheel. Go figure.UK Mazda3s appear to come with CD players, and our neighbours to the south of us in the U.S. get front end sensors but no heated steering wheel while we Canadians get a warm steering wheel but no front end sensors.