When I ordered my shiny new X390 Yoga, I specc'd out a 4G modem as well - a Fibocom L850-GL (also known as an Intel XMM7360-P because integrated 4G modems are weird). I included it partly because it could come in handy, and mainly because it's not practical to retrofit one later - while the M.2 connector is present, if you don't specify a modem then Lenovo only fits WLAN antennas and swapping out the antennas is a dismantle-the-entire-laptop job. Anyway, since going on holidays is a thing that may actually happen this year I picked up a random SIM card from Sainsburys and stuck it in.
Whereupon the modem woke up, detected the SIM card, and promptly disappeared from the PCIe bus. A few moments it reappeared, detected that it was a Vodafone SIM... and disappeared again. It then got stuck in this unplug/plug loop.
After much digging, it turns out that there's a whole pile of different network-specific firmwares that need to be loaded. When you insert a SIM a background service will detect this and switch the modem into firmware upgrade mode. It's then supposed to install the firmware, the modem restarts, and everything is shiny. Except it failed to actually upload the firmware to the modem and then decided to try again when the modem reappared.
The release notes claim this was fixed in driver version 126.96.36.199 and indeed that's what appeared to be installed. Except for some reason the update hadn't installed the new firmware - the firmware and service live in C:\Windows\Firmware and the files there were not the ones in the driver package.
What ultimately seemed to fix it was using Device Manager to uninstall the device and the driver (following the instructions in the driver readme), letting Windows rediscover it (installing some random driver version from Windows Update), then using Device Manager to manually update the driver on the Intel XMM7360-P device and each child device with the drivers from the latest installer. And the result...
Not as the fast as the modem theoretically supports, let alone what my phone can do (the Xperia XZ1 has a 1Gb/s modem, which is an utterly ludicrous concept for mobile data), but I'll take that. Result!