The "Block Diagrams" often tell the story on Mikrotik devices on these things. It shows the SIMs are wired to the miniPCIe, so if you placed a modem directly in M.2 slot it have no SIMs available. And if M.2 modem used USB, it also would NOT work, since only PCI is available to M.2 slot on RBM33G. See below.
If your M.2 adapter and modem combo is working/stable, I'd keep that combo.
I do wish they support M.2 for LTE modems on the boards – miniPCIe is VERY limiting. To get CAT18 on Mikrotik in US, I'm limited to the Telit LM960A18 since most modems at CAT18+/5G are M.2. I've never gone the M.2 adapter route, since I keep hoping Mikrotik release some M.2 for LTE on their boards.
But I'm not sure we're all that close since they
just released the L23UGSR, but those are also miniPCIe.