You don't necessarily need one, the SSD also runs without a heat sink in the PS5. However, it is highly recommended to install one.

Samsung Electronics GmbH
Hello,
Thank you for your enquiry. To use the Samsung 980 PRO NVMe™ M.2 SSD with the Playstation 5 console, Sony recommends effective heat dissipation with a cooling structure such as a heatsink. The SSD 980 PRO is not sold with a heatsink. This must be purchased separately from a third party manufacturer if required. Please contact the manufacturer of the device for more information.
Kind regards from Schwalbach,
Your Samsung Service Team