First of all, the ISP controls cable modem firmware. They have all the settings and manage the device. You don’t get much control there.
As for your question, I’d say no, for 2 reasons. First, designing that capability is expensive and modems are built for cheap reliability. Second, any hardware to spy is more useful installed in a data center accessible to their user base. There is not much point installing unnecessary tech to one endpoint.
As for router, they are beefier CPU-wise. AT&T has in the past prevented users from changing DNS settings and that could lead to lots of tasty data. Deep packet inspection is becoming more prevalent in home routers as is integration with other technologies. (EERO devices for example).
Make sure to fire up a VPN or something when you need.
Yeah, yum!
Better than 8 years of broccoli and prunes.