Below is 2 pictures of what I believe EGR valve solenoid. Notice the black cap (1st picture under the electrical connector) which can be removed then put on another position as in 2nd picture? I'm confused which position is correct, and how to make sure (like can blow air into or something)?
If you click on the part number instead of the Info button, it shows the part you've listed is for the 2002-2003 Protoge5. Under the other section for Daily Driver, it shows the parts listed are for multiple different Mazda vehicles. If you don't have the Protoge5, I'd be looking at the other one. It is not an EGR valve, though. It is under a separate listing and has a (what appears to be) cast iron body to it.