Hi,
The PWM frequency is higher than the reaction of thermal mass of the device to cause thermal shock.
Car/Truck 12/24V fridges use PWM control on their Peltier elements along with a fan to cool the heatsink.
One of our calibration pots at work is a small volume cell to hold liquid with a Peltier element connected.
If I remember, the PWM frequency is 24kHz with an inductor in series with the Pelter element, it heats to 50DegC and goes down to -10DegC.
It uses a PID controller.
Tom... 