M.2 is just a type of connector, and you can use it for the "stick" type of SSD's, either a SATA or NVMe ones. If you want the fastest SSD's on that connector, choose an NVMe SSD. But it still won't make your games load faster or perform better with today's hardware. In all the game loading tests I have seen it's just tenths of a second here and there.
But transfering files from an NVMe drive to another NVMe drive is really fast. But if you are gaming, then a 2.5 SATA SSD or M.2 SATA SSD is all you need.