Cellular modems are so complicated that they require their own ARM processor. Whatever code runs on this core is closed-source and proprietary.

In order to improve general system performance, some SoC vendors chose to include the modem in the SoC itself. So basically there is yet another ARM core in the SoC which is dedicated to running the cellular modem. This core runs a closed-source blob and is unavailable to the operating system.

This thight integration raises some concerns for some people:

• the audio signal is routed directly into the modem, without any intervention from the main CPU, which leads to some people believing that the modem can always "listen in" to you, even when you are not in a phone call
• the main processor communicates with the modem's ARM core via shared memory, so the modem can access the main memory, so some people believe that the modem can "steal your data" by copying arbitrary stuff from your RAM
• since the modem is on the same chip and powered via the same power pins, some people also think that there is no reliable way to power down the modem entirely, so it can "spy" on you even when you think it's in offline mode
• since the modem runs closed-source software, some people believe that it is of bad quality and suspect to "backdoors" (and is not auditable by independent researchers)

Whether or not these concerns are valid (or even feasible technically) or not is anybody's guess. I'm not saying you should go paranoid about this, but these are the main concerns that are raised with regards to this.

So these people who are designing "privacy-protecting" devices generally use a SoC with a non-integrated modem, which allows greater control over the modem in case it becomes "malicious". So they sacrifice some PCB area and make some trade-off to give you this additional control.

EDIT 1: practically all modern smartphones have a SoC which has the modem built-in. Not sury why Purism sells this as a software feature, though, when clearly it isn't.

EDIT 2: according to some trivia, Nokia figured out how to run the modem and their OS on the same one ARM core, which is why their low-end phones were so cheap (because they needed one fewer CPU core at a time when this meant saving a significant cost).