EDIT: Appears I was wrong, seems like you can set active sim before modem is fully on.
Regardless, make sure you have fully followed all the steps in this post by rickkas7: Setting up a Boron with a 3rd-party SIM card
And DFU mode stuff is still strange, sorry that I don’t have any thoughts beyond the earlier ones already mentioned. If you have access to a JTAG programmer you can update the system firmware that way if needed, though.