If you just purchase the module, then there is no carrier board and no heat sink. The PCIe connector/slot is part of the development kit carrier board only. The module has PCIe, but you would need to create a carrier board to actually use this (a module has individual bare pins, but no PCIe connector).
There are third party carrier boards, and if you purchase just a module, then those would work with the module. Keep in mind that the module needs to be flashed to work with a particular carrier board, and so to transfer a module back and forth across boards is always electrically correct, but software would need to change for correct function on different carrier boards. Developing your own carrier board requires developing your own board support package (unless the layout exactly matches that of the development kit carrier board).