Using M.2 drives is good for making space as you save room on 2.5" SSDs AND the cables to run them. M.2 drives may run warm, only the controller chips need cooling apparently. Saving room for more fans may give you better airflow and cool the M.2 drives.
One thing to watch out for is what multiple Nvme (PCIe) drives will do to your PCIe lane allocations...
My ageing Z97 mITX board halves the PCIe lanes for 16 to 8 when I fit an M.2 drive.
This seems to be the case with Ryzen boards with 2 Nvme/PCIe M.2 slots (certainly the case with the Strix X470). Some M.2 slots are PCIe or SATA, so you could have a slower SATA data drive in one slot and Nvme/PCIe in the other and not trigger the lane split away from your GPU.
I'd like to add a few things just to paint a complete picture:
SATA M.2 barely gets hot, not needing cooling at all to keep from throttling. PCIe M.2 can get hot, depending on controller and usage. A low profile heatsink will take away the worries but basically you get warranty on these drives and they only heat up to a point of throttling if they are heavily loaded for a while, not at idle.
If your motherboard uses lanes from the GPU PCIe x16 slot and turns it into a x8 slot electrically, it's not going to matter much for gaming. In testing it has shown to only affect gaming performance in a 1-2% difference. That's a performance difference that's easily caused by a driver update, dust build-up in heatsinks or so many other factors.
I like the fact that your storage has no cables and no meaningful volume the most.