Here is an official list so far :
Apacer	NVMe	AP1TPP3480-R	1 TB	NAS	PP3480-R	FS 67
Apacer	NVMe	AP512GPP3480-R	512 GB	NAS	PP3480-R	FS 67
Apacer	NVMe	AP256GPP3480-R	256 GB	NAS	PP3480-R	FS 67
Apacer	NVMe	AP128GPP3480-R	128 GB	NAS	PP3480-R	FS 67
Seagate	NVMe	ZP2000NM30002	2 TB	NAS	IronWolf 525	FS 67
Seagate	NVMe	ZP2000NM3A002	2 TB	NAS	IronWolf 525	FS 67
Seagate	NVMe	ZP1000NM30002	1 TB	NAS	IronWolf 525	FS 67
Seagate	NVMe	ZP1000NM3A002	1 TB	NAS	IronWolf 525	FS 67
Seagate	NVMe	ZP500NM30002	500 GB	NAS	IronWolf 525	FS 67
Seagate	NVMe	ZP500NM3A002	500 GB	NAS	IronWolf 525	FS 67
Western Digital	NVMe	WDS400T1R0C - 68BDK0	4 TB	NAS	Red SN700	FS 67
Western Digital	NVMe	WDS200T1R0C - 68BDK0	2 TB	NAS	Red SN700	FS 67
Western Digital	NVMe	WDS100T1R0C - 68BDK0	1 TB	NAS	Red SN700	FS 67
Western Digital	NVMe	WDS500G1R0C - 68BDK0	500 GB	NAS	Red SN700	FS 67
Western Digital	NVMe	WDS250G1R0C - 68BDK0	250 GB	NAS	Red SN700	FS 67
https://www.asustor.com/service/m2ssd?se...&class=NAS
You may also use any other NVMe SSD. But keep in mind it comes with PCIe 3.0 M.2 NVMe SSD slots. So you can save money compared to gen4 NVMe.
Heatsinks are not essential. But there is nothing wrong with having them. 
Regarding storage space. You do not need to fill all NVMe slots. You can go for a 3 SSD in RAID5 (that loos one SSD for redundancy. So you get 2xSSD storage space). Or RAID6 that use 2 SSD for redunacy.