The X11SSH-F board and use an M.2 interfaced PCIe SSD (but probably need AHCI support right?)
PCI-e SSDs come in AHCI (the SATA protocol) and NVMe (new protocol, better for flash performance) flavors. AHCI should be a bit more compatible.
but the M.2 PCIe 3.0 port on the X11SSH-F board only has support for 2 PCIe lanes as I understand it (X2 not X4) so the X4 SSDs on the market will run at reduced speed (how reduced?)
2x 1GB/s (big B) is still much faster than SATA 6Gb/s. Not that you'd need it in a FreeNAS boot device.
that M.2 port feels less "future proof" since only 2 PCIe lanes are supported
I wouldn't say so.
so is it a better choice to go with an X11SSM-F board which gives me another PCIe X4 slot compared to the X11SSH-F board? Better to have four PCIe 3.0 slots (two X4 and two X8) in the X11SSM-F compared to 3 PCIe 3.0 slots (one X4 and two X8) and one M.2 PCIe X2 slot (slower and not future proof?) on the X11SSH-F board even if M.2 interfaces seems kind of hot these days?
It depends on what you plan to do with the M.2 slot.
Cute little boot device? Still cheaper than a SATA DOM, probably. Much faster and maybe more reliable, too.
High-end SLOG device? The extra bandwidth is always nice.
Some adapter solution from an 32 GB SATA SSD to PCIe slot like:
http://www.newegg.com/Product/Product.aspx?Item=9SIA1JM1194254 but I cannot find it locally, don't know how reliable it is and it adds cost too (adapter + SSD have to be bought).
That's just a crummy SATA controller. Very few of those are worth touching with a ten foot pole.
Some cheap and reliable PCIe interfaced SATA/SAS controller card. But it probably consumes more power constantly (up to 10 W?) and the price for the controller card + small SSD might be similar to the Kingston PCIe SSD mentioned above.
Well, that is significantly more flexible. Honestly, if your only alternative is the Kingston SSD, this seems like a better option.