Have you attempted to reinstall from ISO with the USB modem inserted prior to the install? This OS is not plug-n-play; only the necessary drivers are loaded at installation. If that doesn't solve the problem for you, we will need to conclude that it is not supported, so please report your results here.
Cheers - Bob
Sophos UTM Community Moderator Sophos Certified Architect - UTM Sophos Certified Engineer - XG Gold Solution Partner since 2005