Only completions for fwupdtool exist in Gentoo but there is a script for fwupdmgr too in upstream src. https://github.com/fwupd/fwupd/tree/master/data/bash-completion
I see there is an fwupdagent there too, not sure what that is about though.
OK, bash comp is currently connected to the agent USE flag so not a Gentoo problem