The processor obviously doesn't include a cellular modem. You could reasonably put it in the chipset. You would still need an antenna. In order to be practical it would have to reach outside of the case, as PCs mostly have metal cases (even many of the plastic ones have metal RF shields, or at least paint) and are not good at letting RF signals out. In a typical laptop the antenna is around the monitor bezel for example. So yeah, I could believe they designed a chipset that would do that, but they wouldn't have put it in the processor itself and this also clearly would have been an optional feature because the manufacturer would have to connect an antenna.
The 3G-related features are billed as part of vPro remote-control, specifically AMT. They also tout control by Ethernet, not just "3G". There's not ethernet on the processor die either, any more than there is 3G.
You have gone full frother.