OK, so I take a more moderate view to @Rogue Leader.
First up, the 850 EVO is a great drive. Yes, it is absolutely a SATA SSD and isn't as "fast" in intensive I/O benchmarks as a proper NVMe drive. But it's a super-solid SSD and a great choice for a general purpose and gaming system. The m.2 version works just as well as the 2.5" one, and avoids cable clutter. Obviously it takes up an M.2 slot, but you have 2 M.2 slots on that board, so you still have capacity to add a high speed NVMe drive in future if you want to.
Unless you have specific intensive IO requirements, or you have a massive budget, I generally wouldn't recommend buying anything more expensive than a mid-range SSD. On most budget builds, even with a high budget, there are better ways to spend your money than an NVMe drive.
So yes, you could get "better performance" by returning your 850 EVO and spending up on a 960 EVO or other NVMe option. Is it worth it though? I'd suggest probably not, but that depends on your priorities and budget.
In terms of overheating, you actually have to work most SSD really, really hard to hit thermal throttling. SSD reviews manage it pretty often because they're running synthetic or massively IO intensive workloads. But those workloads are just not seen in "normal" gaming or workstation uses. Almost all gaming/workstation IO tasks are bursty in nature, we rarely run into situations where the SSD becomes the system bottleneck for the significant period of time it requires to hit thermal limits. On top of that, I don't actually think it's a problem at all with SATA M.2 drives. They're not fast enough anyway.
TL DR, no issues with heat whatsoever on your SATA m.2 drive.
I personally don't see the need for anything better either, though for sure more expensive drives are faster
Even with a proper NVMe drive I'd be very surprised if you ever hit thermal limits unless you have unusual IO intensive workloads.