According to the manual for that board all M.2 slots on the motherboard are CPU controlled, while the DIMM.2 is chipset controlled. Speed wise should be no difference, however bare in mind having a drive in the second or third motherboard slot will force the GPU into x8 mode, and using the DIMM.2 slot may starve the drive as
it runs in x2 mode instead of x4 if you fill both slots on the add-on card.
I would say stick with the motherboard slots as it's a direct connection to the CPU so should offer better latency.