I now have my Apple USB Modem working with Lion perfectly (dialup and fax both work)! You need to copy both from a Snow Leopard backup (and be in 32bit mode I think):
/System/Library/Extensions/IOSerialFamily.kext/Contents/PlugIns/MotorolaSM56KUS B.kext
/System/Library/Extensions/SM56KUSBAudioFamily.kext
So, apparently Apple just didn't bother to include the drivers. For this to work though you have to be running a 32bit kernel. To check, go to the Apple Menu > About This Mac > More Info > System Report > Software.
If you see "64-bit Kernel and Extensions: No" - this should work. If it says Yes, you are probably out of luck. Also, after copying those files over, you may want to do a repair permissions and reboot.