A:Answer The PNY XLR8 CS3030 will only work in an NVME M.2 slot. (I.e. a slot that provides a PCIe interface as opposed to SATA). Assuming that M.2 slot compatibility has been verified, the real test is whether the drive shows up in the OS or not.
If the M.2 device is visible in the OS (or the OS installer..) then it is a compatibility issue with your BIOS. This will prevent you from using the M.2 as the boot device. However, you can still use the M.2 as the system drive, you only need a small boot partition on a SATA HDD. The Windows 10 installer should figure this out automatically. You say that you are building a gaming rig, so I assume that the plan is to have a large rotating "data" HDD too. 256GB is rather skimpy for some of the larger games out there...
If the M.2 device is not visible in the OS then something is defective. Could be the drive itself, the motherboard or the PCIe adapter card if you use one.