may depend on your board, i'd ask folks that own your board what has worked for them.
Yeah, depending on the board layout, you may run into clearance issues. If you have plenty of room, I've seen a couple of m.2 heatsinks with heatpipes, and I think there are even a couple of m.2 waterblocks available (overkill, but still an option). In general, more surface area (more/bigger fins) = better cooling capability.
I find it kinda funny if someone asks for the best RAM cooler people tell them they shouldn't need one if their case has proper airflow but threads asking for heatsinks for their M.2 you still get people giving recommendations.
they're sold without a heatink because you don't need one. if you need one then your case airflow is poo. if they can function fine in a laptop without one then there's no reason they need a heatsink in a desktop.