Arduino as a digital pot/matrix mixer etc

I dont know if you can filter out the steps in code,

Sorry you can't.

or if you need to apply a hi-pass, in hardware, afterwards to filter out the steps.

That is not always possible, it depends on what circuit the pot is in.

the -5/+15 is just polarity, and when the pot specifies that it goes from 1.8 to 36, that also means -1.8 to -36 right?

No.

Read the data sheet for that pot. You have three supply voltages. VL is the supply voltage for the I2C logic signals. This must not be higher than the V+ which is a voltage that corresponds to the highest voltage you want any of the three pot terminals to be at. The V- is the lowest voltage you want the pins to be at.
from the data sheet:-

V+ = 10V to 36V (referenced to V-);
V+ = +5V to +18V and V- = -5.0V to -18V (referenced to DGND -> ±5V to ±18V),

also this note applies:-

V+ voltage is dependent on V- voltage. The maximum delta voltage between V+ and V- is 36V. The digital
logic DGND potential can be anywhere between V+ and V-, the VL potential must be DGND and V+.

So to power this you need what is called a split supply, one that has three wires and gives positive and negitave voltages, referenced to a third ground voltage.

My logic is, that once you digitize a value, you should be able to convert that to midi with code

Yes although there is not much to it. You simply have to have the value in the range 0 to 127 and then include that value in the appropriate MIDI message, like note on or Controller, or Program change MIDI message.