Why don't drives come with the screw

It includes screws and screwdriver PC Screw Kit for SSD Mounting for Motherboard, Compatible with Msi Motherboard See more product details

You can find them on Mouser or Digikey, you just need one for a M2 screw in the height required by your connector Wurth

m2 expansion slot NVMe Screw SSD Mounting Kit Compatible ASUS Motherboard

m2 vs nvme slot designs, you'll never screw it up Save time, save life! It's One of the FASTEST Gen 5 SSD