Sorry, I didn't realize you were from the UK, I don't know the O2 sensor configuration for the UK cars, but I would guess that it only has the two upstream sensors. You can look under the car to see if you have the two downstream sensors, there should be one before the cat and one after the cat.
In Canada, the Denso site shows the upstream sensors as being 4 wire, but my car (in Canada) only has 3 wire upstream sensors, so that may be an error on their site. My downstream sensors are 4 wire.
I'd be interested to know if you have the downstream sensors, and just confirm if the sensor you changed was in fact a downstream sensor as you said, and if it was 3 or 4 wire.
1997 MX-6 LS