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And make the software compatible or make a new product like the dock but for steam ,and like have a way of using with usb c things like that like they did with windows drivers in the past.
External GPU docks are extremely niche as well as expensive.
They are not a good investment.
For additional clarity beyond what ReBoot told you, this isn't a software limitation. The Steam Deck is using USB 3.2 via the USB-C port. USB3 does not support PCIe tunneling to provide a PCIe connection to an external GPU over the USB connection. So this will never be an option on Steam Deck (current first generation). The M.2 connection is just another form factor for a PCIe Gen3 x4 connection so you can use an adapter to convert from the M.2 form factor to a PCIe slot as shown in the video you posted.
By the time a second generation of Steam Deck is released it will likely be something that is possible as the USB4 specification merged the Tunerbolt3 specification into the standard so it has optional support for PCIe tunneling. The most recent APUs from AMD (Dragon Range) support USB4 and PCIe tunneling in their IO. So it is reasonable to think future AMD APUs which Valve would use as a base for a second generation co-designed APU for a second generation Steam Deck will have USB4 with PCIe tunneling.