Hello cbwhsl ,
In M.2 slot you can install SSD with NVMe bus interface or with SATA bus interface. In 2.5" bay you can install HDD or SSD only with SATA interface. The performance of SSD with NVMe interface is much better than SSD with SATA interface. However the SSD with NVMe interface is still quite expensive. So, in my NUC I have installed 250GB SSD with NVMe interface in the M.2 slot. This is my PROGRAM disk. On this SSD I've installed Windows and all other programs I use (for example Office, Photoshop, Pinnacle Studio and others). Still I got more that 170GB free on this disk. In the 2.5" bay I've installed 1TB HDD (which is very chip). This is my DATA disk. On this HDD I keep all my data (i.e. documents, pictures, video files, downloads,...). In such configuration I've high performance PC with cheap storage for data.
Of course, if you prefer to use only one SSD/HDD, you can do this. It will work installed in M.2 slot or in 2.5" bay.
Hope this helps
On my NUC7i7DNHE, I have a SATA III HDD (750GB) installed in the 2.5" slot, and a 16GB Optane installed in the m.2 slot.
Everything is installed on the HDD. Then, I ran the Intel SetupOptaneMemory tool. Very easy to use and pair.
Windows 10, BIOS updated and set to Intel RST. All works as it should.