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It goes through the chipset, yes. It is not directly connected to the CPU. Again that DMI3.0 to get there.I would be surprised that you would unless you have a mobo that is designed to push the NVMe to the CPU. Like right now the system architecture is to go toward GPU<-->CPU not Storage<-->CPU. Server side, you would see a big difference.
Currently there are no boards that support 2xM.2 drives on the AMD side (I don't even know if there is from Intel). But yes a CPU can support multiple NVMe drives and do RAID off of the PCIe. Now It may be just limited to X370 boards for RAID compatibility with NVMe since it has the highest PCIe count.