CM4s are not supporting the NVMe slot and here's why:

Cm4 has only a single PCie 2.0 lane. Like a single lane on a single PCIe bus. This means only a single thing can be connected to it

Turing Pi 2 connects it to: - Node 1 - Mini PCIe - Node 2 - Mini PCie - Node 3 - SATA - node 4 - USB

Some other boards are using this lane to connect the NVMe drives indeed

There are some modules that have secondary PCIe bus like Jetson modules or upcoming RK1 modules that'll utilize both

With CMs, this is a design choice on TPi2. Choice that could potentially be changed with another CM4 carrier boards that route this PCie lane to the NVMe slot instead or maybe even contain a PCIe switch