configure SQM as shown here https://openwrt.org/docs/guide-user/network/traffic-shaping/sqm
I play Call of Duty: Modern Warfare and receive a data loss warning. I don't know if it was because I opened the nat or SQM ports.
This is pretty limited information. Do you only get the data loss warning while SQM is running? If you unclick "enable this SQM instance" and click "Save & Apply" then play for a while do you still get the data loss warning?
SQM does drop packets when the link is overloaded, but it'd be unlikely to be the cause of this problem. the packets that are dropped tend to be from higher bandwidth flows, such as downloads. It seems more likely that you have noisy DSL or other issues with your ISP.
If it's about Warzone you should be aware that servers are pretty bad at the moment. Lot of Packetloss with bad hitreg is happening in Warzone, regardless of your ISP and/or Bandwidth. Activision need to fix/expand their servers...
My ISP's router put it in bridge mode, so all traffic is in openwrt. Could that also be a problem?
Even a pretty lightweight router should handle the bandwidth you're talking about here, so no, it's not a problem.