Re: A little bit more nuanced...
Back in RSX or VMS days, we'd have had an ACP (daemon) that was signalled on the first attempt to access the device and loaded the firmware then.
I'm not terribly familiar with Linux, but it seems that udev only gets events for devices being added and removed (and power state changes), so the driver can't send a custom "load my firmware now, please" message. However, presumably you could start a demon on device discovery and have it hang around until it was signalled by the driver that it was firmware-loading time?
It would seem more logical to load the firmware when it was needed rather than when a filesystem that may or may not contain it becomes available.