Depends on which windows you are installing. Windows 7 you does not have Native support or nvme. Hence you will need to install a driver before installing windows.
8.1 and 10 does not need that.
For your mobo. You got to look carefully. Look at the soldered pins.
Your first full length pcie 3.0 is x16.
Your 2nd is x8. And last x4.
For this config, if the mobo states that is pcie pcie 3.0 for all 4 slots. But you need to see the bandwidth lanes allocated.
If you claimed that your last slot is a pcie sound card, you practically sharing bandwidth. Your gpu is probably running x8.
Might wanna see here for more info.
https://www.pugetsystems.com/labs/articles/Z170-vs-Z97-What-is-the-Difference-636/