1. M.2 NVMe of course. I would recommend Patriot Hellfire or Corsair MP500; size 240GB is enough. Samsung 950/960 seem to have an unusually high death rate. A death M.2 is obviously covered by a warranty, but reinstalling everything again is a pain.
2. Yes, you will. If this will be your only M.2 device, put it in the lower slot where you can expect less heat from your other components. Also consult the manual to learn which SATA or U.2 ports will be disabled by using this M.2 slot (if any).
3. Nope, actually it is not. The difference only shows in specific situations. But why do not use the newest technology if you can, right? And you can get rid of two extra cables inside the case for each standard SSD which you replace by M.2.
4. Your precious data will stay on slower 1TB HDD, this is a good thinking. I would recommend Western Digital Gold series which is meant for professional use (extra data protection, higher quality than blue or black series).