Plugging a "ZeroCD" wwan modem just make the storage part to be mounted. The modem part doesn't get recognized without usb_modeswitch (and usb_modeswitch-data) installed. NM should depend on those packages or most wwan modems won't work.
I agree, with usb_modeswitch some devices "just work". I had to search the web quite a bit to get a Huawei stick to work and stumbled first across all kinds of wrong/outdated "solutions" (like using a NDIS driver, shudder...). For someone less experienced this would have been quite frustrating. With usb_modeswitch installed the process would have been simpler than with windows.
*** This bug has been marked as a duplicate of bug 586579 ***