Re: Upgrading Hard Drive on a MacBook Pro, Retina, 13-inch, Mid 2014 (MacBookPro11,1)
Not sure if it is a good idea to go the M.2 path for Mac, let alone connecting it with an adapter. Last I heard Mac is not so flexible in custom works. It is possible to face drivers issues. I could be wrong tho, but at this point I suggest staying within the current running connectivity specs to achieve best possible outcome.
If you mean replacing the existing HDD removing it, then I suggest a standard SATA SSD since it is best solution in the compatibility department. Get an SSD of the same dimensions as your current HDD for that.
Using the PCIe to SATA connector in the link you provided will only give higher costs due to the higher price of M.2 while restricting the speed to that of SATA as well. I don't advise that path unless you want to add it next to the existing HDD if you don't wanna remove it.
The above are in case you plan on replacing the current HDD. It's another story, yet similar, if you plan on keeping it looking for smaller solution to fit next to it (if there's space in the first place).
If you still want the M.2, let's wait for the Mac experts to chime in.