If it is the same device, I found the following:
Frequency band:
FDD LTE: 1/3/5/7/8/20/28
TDD-LTE: 38/40/41
WCDMA: 1/5/8
It does not list GSM (2G). So the question is, does your carrier still have 3G (WCDMA), and if so, is it in the listed bands? If not, I assume your carrier still has 2G which the router doesn't seem to support, but your phone does.
USSD codes (just like traditional cellphone voice calls) are only supported directly by 2G and 3G.
There should be a way to implement USSD code support over IMS (just like VoLTE and VoNR), but perhaps your carrier doesn't support that.
And neither does mine, it seems:
Both 4G and 5G are simply data-only networks.
But don't trust me with that info. I am dumb.