2000 mazda 626 Catayltic Converter or o2?

After my check engine light turned on, i took my car to my mechanic. He said that i needed to replace my catayltic converter. After figuring out the costs i decided to do it myself. I purchased the cat from autozone and it seemed kind of small compared to my oem converter. I even told them it seemed kind of small but they insisted it was for my car. After i took off the oem converter, i carefully checked to see if there were any problems with it, and yet there was. The filter looking things inside it had a burn hole almost straight through. I cut the flanges off the oem converter and had a friend weld the flanges onto my new converter. I then installed the new converter with no problems. After driving a few hundred miles my check engine light turned on, "Warm Up Catalyst Efficiency Below Threshold (Bank 1)".

I've checked for leaks and there are none.

Now would this be because my new converter was smaller than my oem converter or just an o2 sensor problem?

Any help would be appreciated. Thank You.