Those are called thermal plate for M.2 SSD with pre-applied thermal tape/paste/pad.  The pre-applied material would help to make better contact for heat transfer from the SSD to the copper plate, which acts as a heatsink.

A search for Dell thermal plate resulting in many sold by Dell.  Contact Dell Sales if you prefer OEM parts.  With average price around $10 USD, it's more economic sense to get a Dell OEM instead of purchasing a thermal plate and a separate thermal pad.

@Chino de Oro​ Thanks pal. Sorry I don't believe its a Thermal Pad that I mean. I meant the mesh so that the heatsink sits on the connectors safely.

see images below.

That looks like insulator tape, cushioning the copper from touching and transferring heat to motherboard.  There is another opposite type of small spongy material with metal mesh wrapping, that was thermal sponge that helps with heat transferring from SSD to foil sheet taping to the bottom cover.  Often found in XPS 2in1.

You can use any makeshift material (no cost) such as painter tape to keep insulation and blocking the heat from copper transferring to motherboard.