I assume the answer is no (that putting the modem in bridge mode bypassing all security features). Can someone confirm?
Also, how does working in bridge mode mesh with using Connection Pro cellular device?
You are correct; Security Edge would not work while the gateway is in bridge mode but you can use bridge mode with the Connection Pro backup, although you would want to configure things pretty particularly. These two links should give some good information on that:
Re: "Connection Pro" LTE Failover, CGA4131COM, Static IP, Bridged Mode, & pfSense Router/FW
I hope those help! If you have other questions about any of it, please let us know!