I could be wrong, but I believe the versions of the WD SN850 with built on heat sink have RGB lighting:
Long load times are obsolete with next-gen PCIe® Gen4 technology. Arm your system with RGB lighting, an optional heatsink model, and up to 2TB1 capacity.
shop.westerndigital.com
"Long load times are obsolete with next-gen PCIe® Gen4 technology. Arm your system with RGB lighting, an optional heatsink model, and up to 2TB1 capacity."
"Enhance your gaming station with fully customizable RGB lighting controlled through the downloadable WD_BLACK™ Dashboard (Windows® only), designed to match your style."
"Customizable RGB lighting (Windows® Only) programmable with the WD_BLACK™ Dashboard (heatsink model only)"