no, it has nothing to do with the modes in Mode Entry module.
It's core feature, so let me to copy here some text from core RM:
MSR[PR] bit is used to select the mode:
Search for "supervisor" keyword in the core reference manual for more details.
And yes, MPU is supposed to be used to select rights for individual memory resources.
Notice that there's no MMU on e200z0 cores.