Heatsinks are extremely important to use. By the time you total the heatsink and thermal pads with many of the cheap adapters, you can get a "better" adapter that includes everything for nearly the same price.
I see that for most people on a budget, the build quality of a Angelbird Wings don't warrant the price, but we have great options too with much palatable cost, like AquaComputer kryoM.2 and kryoM.2 EVO.
I talked about this before, I bought some adapters from AliExpress that have a so bad PCB that I didn't had the guts to install it in my Mac Pro even after I inspected the M.2 connector for shorts.
The problem with low cost adapters is build quality and PCB design. Most Chinese adapters don't even have the pub traces of the data signals carefully equalised, some have shorter traces, others much longer. I'm not going to even talk about the bad soldering that some of these $5~$8 have.