> It does, but if you look at the mainboard manuals of computers, usually it's 32 lanes of which 16 go to the GPU slot and 16 to the southbridge, so no storage directly attached to the CPU.

AFAIK that's not the case at least on AMD (not Threadripper, but the mainstream AM5 socket). They have 28 lanes of which 16 go to the GPU slot, 4 go to the southbridge, 4 are dedicated to M.2 NVMe storage, and 4 go to either another PCIe slot or another M.2 NVMe storage. See for a random example this motherboard manual https://download.asrock.com/Manual/B650M-HDVM.2.pdf which has a block diagram on page 8 (page 12 of the PDF).