If your MB supports M.2 drives you can use one, but MB also has to support Nvme to use a Nvme M.2 drive which are faster yet than just a Pcie M.2. Nvme is a special protocol for drives on pcie, so make sure you get what the MB will accept. About every MB has SATA, you can use a SATA SSD on that. They are way faster than HDD, but slower than M.2 Pcie drives.
Yes, it will work.
The other response is essentially saying that your motherboard can support a faster m.2 drive if the drive uses the nvme data standard (the WD Blue uses the slightly slower but far more common SATA interface), but it's not something to worry about at all for a gaming rig.