It does not; from the system perspective it's just a USB-on-M.2 peripheral that works perfectly well with free software such as Linux, libqmi, ModemManager, oFono or fsogsmd.
You don't usually say "printing requires non-free software" just because your USB printer runs some non-free firmware inside, even though it's technically true.
Sure, but most people don't and saying that without making sure they know what you mean is at best misleading.
Also, counting the modem as making the whole device non-free would require you to count plenty of other things as well, such as microSD cards, accelerometers, audio codecs, SIM cards, even USB-C cables, as all of those things (and more) contain non-free blobs inside. In my opinion it's not a useful stance to hold if you care about freedom - even FSF doesn't do that.
I agree with you but I think it is better that people realise this and then use the device as ‘as free as we can get without making me a hermit’ instead of just hiding it.
The point is - it is truly 100% free at the level that actually matters: the user controlled operating system. This is the point where I feel completely comfortable with calling it "100% free" without further explanation (especially when the last, and I think the only, smartphone to ever reach that level was GTA02 from 2008), just as I am completely comfortable with saying "I made this cake from scratch" without having invented a universe.
You don't usually say "printing requires non-free software" just because your USB printer runs some non-free firmware inside, even though it's technically true.