M.2 is the form factor, SATA/eMMC/NVMe is the bus used to connect it. NVMe will generally perform the best, since it's PCIe and the NVMe stack is more optimized for flash storage. SATA is, well, SATA. It's like a normal SATA drive but in a more compact form factor. eMMC M.2 isn't a standard thing, so you'd have to be careful about buying one that is known to be compatible. HP's eMMC M.2 might not be compatible with some other vendor's implementation.