Ok I watched that video and well Cute Puppy dogs sprung to mind for some reasonMSI don't sell them seperately, i'd just get a third-party M.2 heatsink.
Here you see different heatsinks tested on a (hot) WD SN850: https://techtest.org/7x-nvme-ssd-kuehler-im-test-be-quiet-icy-box-und-co-im-vergleich/ (English translation)
These aftermarket heatsinks are often better than the integrated ones on the board (although the latter will usually also do the job of preventing throttling).
Search in your favorite PC shops for M.2 heatsinks, the winner from above is this, called "be quiet! MC1 Pro".
I have that one and i replaced the included MSI heatsink with it. Not because it's missing, but because the MC1 Pro is double-sided and cools a bit better.
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