I have no experience with PCIe so maybe it's harder with USB to abuse the host system, than with PCIe these days.
You can think of USB as being similar to using a TCP/IP protocol between multiple machines capable of executing code, and having to execute code to handle higher level protocols, like HTTP or whatnot. If there's a code execution bug anywhere, the USB capable device will be able to exploit it.
And by default, there's a code-execution bug on all normally configured Linux machines. If you'll not create a USB "firewall", modem can just create a virtual keyboard and kernel will happily accept all input from it, for example. So modem can just type whatever it wants to your shell. It will be obvious, but, it's still device->host RCE.