With any reasonably fast machine, you'd never notice the difference between hardware and software modems, and an internal modem, even software-based, could actually be faster than an external serial-connected hardware modem. A serial port is limited to 115,200bps throughput. This is the raw data, before any compression. So no matter how good the compression is, throughput is limited to that. An internal modem doesn't have that limitation so the modem can work at its highest compression rate to get maximum throughput. A USB modem of course bypasses the limitation as well, but most are software modems. In the real world, it's not noticeable anyway.
ActionTec at one point made a hardware-controlled version of PCI modems as well as software; they don't seem to tout their PCI modems as hardware now though, so I'm guessing they've moved to all software. I think 3Com makes a hardware PCI modem. Either way, you do pay for the privilege. The first PCI modems were indeed all software-based, and very few companies bothered to make hardware modems because by that point, nobody cared, any machine could work well with a soft-modem.