Not all Intel Macs. Only those without T2 chip, as T2 acts as the storage controller.

And all of the Apple Silicon Macs have them soldered on or use a proprietary module. They make way too much from storage upgrades to include an M.2 slot.

The on-board storage of their MacBooks is as much, if not more, driven by their design vision. They didn't make these things record thin to get an excuse to use surface-mounted RAM and storage. I don't agree with it, but I understand it.