Then tell you a couple of settings to make. But MSI's servers are not working right (again) and we have to wait until they do.
One thing is for sure from looking at the specs though, you can and should choose an NVME M.2 SSD. It will work fine in this board, will be faster than a SATA one, and not cost that much more (unless you choose something very fast like a Samsung 970 EVO Plus.
1) Get the newest BIOS file (top one): https://www.msi.com/Motherboard/support/Z270-GAMING-PLUS
2) Extract the file onto a USB stick.
3) Enter the BIOS, go to "M-FLASH" in the BIOS.
4) Once M-Flash (the updater) is loaded, it will show a list of your drives. Select the USB stick and select the file you extracted on there.
5) It will ask for confirmation and then update the BIOS. It's fully automatic from there.