Based on the answers, the issue is likely that macOS is presenting the CFexpress card/reader to Bridge as a regular external hard drive rather than as a removable camera/media device. Finder can still mount it, but Bridge Photo Downloader may only list devices it recognizes as import sources.

That also explains why granting Full Disk Access did not fix it: this appears to be a device-recognition limitation, not a permissions problem.

The suggested workaround is to connect the camera itself, with the CFexpress card inserted, to your Mac via USB. In that configuration Bridge is more likely to recognize it as an external device and allow import through Photo Downloader.

If Bridge still doesn't suit your workflow, one answer recommends using Nikon NX Studio instead, which is free.

So in short: the card reader is probably being identified as a disk, not a supported import device; connecting the camera directly is the practical workaround.