No the LX did not come with fog lights. Hanging them under the front bumper will most likely cause breakage. Where I live, most of the tire stops are set high enough to hit most fog lights under the bumper. I have already had problems with some of them placed too far back in the parking slot that I hit the undercarriage of the car. I also have a concerns with the lights hanging under the front bumper may hang up on road trash. More and more I am having to doge things (for lack of a better word) in the road. I have had to run over several tire treads that have come off truck tires and boxes that fell off trucks as well as tree branches. At night it's hard to see dark things on the road at 70+ MPH.

The placement in the front bumper seems to be a good place, however I don’t know if aftermarket lamps would fit in the plate at the edge of the lower grill. From what I’ve seen so far it’s just plastic.

 

I've only read that the P5 fog lights suck, not the sedan ones.

I have the kit from mazda, and I think its great. Sure it costs more than other aftermarket kits but it fits perfectly and the wiring is already setup. Hassle free.

 

I've had no problems with my Mazda Fog lights. I replaced all my bulbs with PIAA bulbs though. I never used them with stock bulbs.

Good Luck.