Speedstep gave you the correct answer.

I needed the M.2 screw, and got it from Amazon.  Here's my experience:

https://www.dell.com/community/Optiplex-Desktops/OptiPlex-5040-Upgrade-HDD-to-NVMe-M-2-SSD/m-p/7717436#M46021

Yesterday, I installed a Samsung 970 EVO plus NVMe.M.2 SSD on a 5040 SFF.  The screws work.  I did not use the washer.  Not much room, and I don't think it needed it.  I didn't use a thermal pad or heat sink on the SSD.  I used Acronis to restore to this SSD.  Everything just worked perfect.  Transfer times are fast for large files.  Monitored SSD temps, etc, with HWiNFO.  Perfect.  No issues at all.

After shutting down the computer, and restarting, the fans sound like a jet engine.  If I wait a couple of minutes, then the fans do not rev up.  (Sometimes my external drive won't disconnect, so I need to shut down, and then I like to restart quickly.)  So something is heating up, but I don't know the cause.  Limited time, and I have to return it.  I've ordered a Samsung 860 Evo SSD to use instead because I know there will be no fan/heat issues.

I already have a Samsung 850 Pro SSD in another identical system.  There is a big difference in transfer speeds of files with the 970 m.2.  However, for my normal computer use of browsing the internet and business applications, I could not tell any difference.  Even power-on times were almost identical, about 15 seconds.

Anyway, I hope you have better luck than me.

Hi usa123,

Your reply/experince on ssd install is very usefull. I will install 970evo plus first and see if i get same issues... fingers crossed.  Thank you.