I'm reading Axel's Castle. The surprising thing is that he never uses the term modernism, in a book published in 1931, and dealing with Yeats, Valery, Proust, Joyce, and Stein. So modernism was not (yet) the term for this literary movement the Wilson describes, while modernism was still going on. There is an appendix, a memoir of Dada by Tzara, that had a substantial impact on me when I first read it around 1975. So the avant-garde seemed to exist for Wilson, but as an appendix.
I'm sure modern was used, by Laura Riding for example, and I think modernist too around this time. It would be useful to track it down.