It should be connected to the M2-specific connector shown in the red square area in the image below. If you are sure that the motherboard supports the M.2 interface, it is usually labeled on the motherboard.
The M.2 interface, a new host interface scheme, is compatible with a wide range of communication protocols, such as sata, PCIe, USB, HSIC, UART, SMBus, and so on.
The main advantage of M.2 interface SSDs is that they are smaller in size compared to traditional SATA3.0 and MSATA, and have faster read speeds and better compatibility with some mobile devices.
The emergence of the M.2 interface provides a foundation for SSD speed advantages.
Expanded Information
1. The four common interface types, SATA, mSATA, PCI-E, and M.2, account for the vast majority of consumer hard drive interfaces.
2. There are two types of M.2 interfaces: Socket 2 and Socket 3, where Socket 2 supports SATA, PCI-E x2 interfaces, and where Socket 3 supports PCI-E ×4 interfaces.
It can be recognized by looking at the gold finger, and has both B Key and M Key notches, which belongs to Socket 2 and is capable of taking both SATA and PCI-E lanes for compatibility.
Only one notch of M Key can support more powerful PCI-E x4, and the speed can reach the level of PCI-E SSD, small body can have more than 1000MB/s performance.
Baidu Encyclopedia - m.2 Interface