I don't have an answer for you, but more of a "me too" response...but maybe somebody can help us both. This past weekend I assembled my new PC based on a ASUS Z97-A motherboard. The M.2 slot seemed interesting so I picked up a Samsung 850 EVO 250 GB M.2 SSD (MZ-N5E250BW). I have the same problem. It is not recognized by the BIOS and I cannot install Windows 10 onto the drive. After spending several hours on this and researching the issues, I ended up installing Windows onto my standard hard drive.
The overall information that I could come up with is that the Z97-A supports "PCIe M.2" and not "SATA M.2" (seems odd that there are different types of M.2 interfaces).
The question that I have for the community is if a SATA M.2 SSD will just not work in the Z97-A, or if it will work with updated drivers, software, workarounds, etc? (I did install the latest BIOS version.)
Research turns up that expansion cards can be used that support both PCIe and SATA M.2 cards. They are only $20-$30, but it seems odd to add a M.2 card when my mobo already has an M.2 slot! (though PCIe M.2 SSDs seems a bit pricey)