To start off with the main question of this article: yes, the m.2-heatsinks that are included with your motherboards actually work! Not all of them are equal, but in all cases they result in a decrease in temperatures and a substantial increase in performance. The horror stories about heatsinks that isolate instead of transfer heat do not appear to be true, at least in our tests.
If you are using a fast m.2-SSD that uses the NVMe-protocol, such a heatsink offers a serious advantage. You do not purchase an SSD like that to only apply light load and under heavy load you only achieve the maximum performance if you have sufficient cooling. While we still measure differences between the individual heatsinks, when it comes to the performance it mainly matters that you use a heatsink and not so much which one. Only the MSI M.2 Shield stands out as a heatsink that is clearly not as effective; we would like to see a better solution with the next generation of that manufacturer. Although we have to add: it does its job, albeit not in the most elegant fashion.
If you have an older motherboard or if there is not an m.2-heatsink included with your new board, the investment of about 15 dollars for a separate EK heatsink is certainly justifiable. While it does not really stand out in terms of effectivity, it can certainly compete with the better heatsinks that are included with motherboards. A nice detail is that it was also announced in a lot of different colours other than black and silver just before the release of this review, which means that you can always match it with your build.
Something that we would always discourage is using a fast NVMe-SSD without taking proper cooling into consideration. Mounting a modest heatsink is a good idea when it comes to the performance and durability of your SSD.