Ok, next time I'll test first.
The documentation is confusing.
If you read the analogwriteresolution() function documentation, you get the idea that only 12 bit is suported.
http://arduino.cc/en/Reference/AnalogWriteResolutionWell, in fact, no!
I've tested with the fade test sketch changing to 16 bit resolution and while verifying with a multimeter, I can say, it works!!

This is a very nice improvement!!!

Sketch used:
/*
Fade
This example shows how to fade an LED on pin 13
using the analogWrite() function.
This example code is in the public domain.
*/
int led = 13; // the pin that the LED is attached to
int brightness = 0; // how bright the LED is
int fadeAmount = 1; // how many points to fade the LED by
// the setup routine runs once when you press reset:
void setup() {
// declare LED pin to be an output:
pinMode(led, OUTPUT);
Serial.begin(115200);
}
// the loop routine runs over and over again forever:
void loop() {
// set the brightness of LED pin :
analogWriteResolution(16); // Set pwm to 16bit resolution
analogWrite(led, brightness);
Serial.println(brightness);
// change the brightness for next time through the loop:
brightness = brightness + fadeAmount;
// reverse the direction of the fading at the ends of the fade:
if (brightness == 0 || brightness == 65535) { //65535 is the maximum value for a 16bit number
fadeAmount = -fadeAmount ;
}
// wait for 5 milliseconds to see the dimming effect
delay(5);
}