M.2 is a board port, different from connectors for other types of drives (SCSI, 3 1/2 " SATA, etc.). The M.2 port will however support both a SATA and an NVMe/PCIe connection. The M.2 drive ( looks like a stick of Juicy Fruit) will be described both on sale site and on the side of the drive itself which type of drive it is. NVMe is the faster type drive by far.
The manual you quote reads that the Z 170 M.2 port supports both types of drive.Be sure to update to the latest bios prior to installing an M.2 PCIe / NVMe drive.