It consists of an aluminium heatspreader that covers the motherboard's M.2 2280 slots, and it features a thermal pad to make better contact.
MSI claims that this lowers temperatures, and reduces throttling on some of the high-performance M.2 PCIe SSDs. Some of the faster M.2 SSDs such as the Samsung 950 Pro have indeed earned the notoriety of heating up to levels that reduce performance. It remains to be seen how much a thin sheet of aluminium changes that.
Via: TPU