I mean, did your retailer tell you that the heatsink would provide much better performance? or did you hear it from somewhere else?

Isn't this common knowledge? nVME disks run pretty hot under load. A heatsink gives more thermal mass and better cooling, so the disk can sustain its high speeds for longer time. Though I doubt a heatsink [significantly] increases peak performance.

You need a heatsink for the PCIe4 SSDs to get their full performance, PCIe3 SSDs are fine without. My goto for HW knowledge is https://anandtech.com

No. But they had same capacity, different prices. I figured something must be different and it turns out it was write/read speeds.