PWM to analog... is this just too Rube Goldberg?

Yes but vanilla Arduino PWM has a default full cycle that doesn't change the clocks. It should be fast enough.

But as I read, how fast I want to change the PWM -level- (assuming like 10% duty cycle to 90%) is more the deal?

RC = 1/2piF
F = 1/2piRC

Does this frequency limit how smoothly DC output will change as PWM level changes?
If so, that would be the smoothness the audio circuit the filtered PWM could change frequency as well as how fast I could jump from one note to another.