The thing about a NVMe is that some can have a peak current for about 10 microseconds of around 2.8 amps @ 3.3 volts (9.24 watts). And on a Kill-A-Watt you will never see that spike because it is so short and because the average power will be much lower even under full load.
But because it is so short in duration the decoupling capacitors (local energy storage) should help to reduce that peak current draw somewhat. There are 6 decoupling capacitors in total shown as being somewhere along the VCC3V3_PCIE trace in the VF2 1.3B board schematic ( C2353 22uF; C2354 100nF; C2355 100nF and C2364 22uF/10V; C2363 22uF/10V; C2362 100nF/10V ), in two groups of three.