Oil changes at dealership or anywhere and what mileage?

I've always gone to a local shop for my oil changes but since getting my cx5 I feel compelled to go to the dealership.

Part of it is the under the table deals this shop let's me make on my old vehicles. For example, instead of $100, I pay them $60 in cash and it's off the record.

Obviously if I do go to this corporate chain, I'd have it all done by the books to maintain my service records but am I being paranoid only wanting to take it to the dealer? Lol

Also, dealer said "mazda recommends 10k miles between but we recommend 5k because we're not in California and the weather is harsher therefore it needs to be done sooner. Don't let it go past 7500 in between"

So curious how often you guys in north eastern climates get your oil changed?