After tearing everything down, researching, reading, trial and error, plugging this, unplugging that, I finally found my problem. I will share this so hopefully someone will figure this out before shelling money on a worthless ECU like I did.
Also advice to anyone looking into the KLK1 ecu.
Some KLK1 ecus have immobilizers. You will need the exact immobilizer module and coded key from the car the ecu came from. You cannot use an immobilizer module from another car (please prove me wrong on this, I want to use my ecu!).
My symptoms were I couldn't get the ecu to output the ignition trigger signal. My wiring was from a 96 mx3 GS, adapted to this pinout here, ECU would control the injectors but wouldn't output the ignition trigger signal. Plugged a 96 mx3 GS ecu in (without modifying anything wiring side) and instant injector and ignition control.
There seems to be 2 identifiable KLK1 ecus, KLK1B and KLK1C. Cannot confirm if the B/C letter at the end of the ecu codes relates to immobilizer/non-immobilizer models. I spent many many hours researching all of this, translating russians sites and what not, to no avail.
The easiest solution here would be to buy a KL47 ecu from a USDM 1995 Millenia. Same wiring, ecu pinout, accessories, still uses MAF instead of VAF, 4 O2 sensors, none seems to be immobilizer models so no trouble with that.
I'm in the process of trying to use the K853 ecu as a piggyback to control spark only, so I can keep my MAF and correct fuel tables. No clue if this will work yet, will probably end up scrapping the KLK1 ecu altogether and use the K853 ecu only until I find a KL47.
Some other random facts about the K853/KLK1/KL47 ECU logics that might help someone along the way :
The ECU only outputs ignition trigger signal if crank AND cam (in dist) signals are present at the ecu.
My LAUNCH code reader+ and ELM327 bluetooth dongle wouldn't connect to the KLK1 ecu. I didn't try any more serious diag tools.
When doing the HEI mod, the W tab should connect to the output device ground, in my setup it was the wire next to the ignition trigger signal wire on the dist 6 wire connector. The bolt through ground can be connected to any ground source. If you don't, unwanted noise will be present. This manifested by fooling me into thinking I had a weak ignition trigger signal when using a voltmeter to read voltage on the wire. It showed a changing 0.3V with negative lead to battery negative while cranking. Showed 0.0V when negative lead was put to correct ground. It also gave me a weak spark on initial crank then no spark at all, leading me to think something was wrong somewhere else. Also, what is shown everywhere as ignition - wire on every diagram is pointless, unless you want to use the diag box to diagnose ignition problems. It connects to nothing, Mazda actually deleted this wire on later models. If you have anything over 95, reuse the provided 12V from the dist 3wire plug (biggest wire, no matter the color). Then another wire will be for tach input, with last wire going to diag box only. At one point, Mazda used an ecu provided tach signal so you will only find the 12V coil wire. The KLK1 ecu is setup like this, pin 1T.
I will add info along the way as I feel it.
Also special thanks to OP, your work has been essential to my swap! I can fathom what kind of work went into this and cannot thank you enough.