Just to mention:
You not only need
# GPS Antenna configuration
CONFIG_MODEM_ANTENNA=y
CONFIG_MODEM_ANTENNA_AT_COEX0="AT\%XCOEX0=1,1,1565,1586"
you also need the
#define AUXANTCFG_ENABLE "AT\%XANTCFG=1"
...
int err = nrf_modem_at_printf("%s", AUXANTCFG_ENABLE);
from “samples/gps/src/startup.c”.