In Camera RAW (at least from version 8.6, sorry I cannot check previous ones) you can mask a gradient or radial filter: you get a "brush" option in the right panel to get a masking brush active only on the just-applied filter.
I've looked everywhere in Lightroom but could not find it, seems this is one of the biggest feature mis-alignment between the two.
Is it possible or I'm missing something?
If you open a Camera RAW edited file in LR you keep seeing masks applied on gradients and radial filters, so you can keep working on your file without much hassle, but I need to step through Camera RAW in order to apply these masks.
You're not missing anything. ACR and LR are currently a bit out of sync feature-wise; most folk (myself included) expect to see the brush masking feature for the gradient tools appear in the next big release of LR - LR6.
ACR on CC gets these features more quickly nowadays because of the Creative Cloud model, whereas LR still has to adhere to the perpetual licence model (despite also being on CC) where big new features are only rolled out with a major release.
Good point on the update model.