The heat sink version of the WD Black SN750 can be a better option for some users, and for many others, it's just a way to spend more money to get similar performance. A number of factors that come into play including the type of workloads you run, where the drive is in your system, and the airflow in the area.
The most common place to install an M.2 SSD is possibly the worst location imaginable, under the video card nestled between two PCIe slots. The video card, and the two PCIe slots, block airflow and even hold the warm air captive. The heat sink on the Black SN750 protrudes above the PCIe slots. This allows some of the system's natural airflow to skim the heat sink and remove more heat than possible with a bare M.2 SSD in stagnant air.
In the 1TB sizes we tested today, you spend around $20 more for the heat sink version Black SN750. This is slightly more than the cost of an M.2 EK Heatsink sold on Amazon, but that aftermarket model doesn't look as good as the WD Black SN750 version.
The Bottom Line
The WD Black SN750 heat sink model is a nice upgrade over the standard drive if you can make use of it's ability to run cool. The standard drive is enough for most users.