Whenever the term 'Frequency' is used, especially in regards to bandwidth, filters and similar topics, it is usually referring to the sine waves that are present in the signal being discussed.
Typically, the figures being used are, in fact, specified for a single frequency with no harmonics - that is, a pure sine wave. When bandwidth, gain, attenuation, etc. are talked about in relation to 'frequency' they are describing the changes observed when pure sine waves of different frequencies are put through the circuit, one at a time.
However, the real world is a little more complex...
DC is zero frequency by definition; there's no such thing as "PWM DC". That's AC, quite richly AC I might add -- with a tinge of DC superimposed upon it. 
Tim
Any signal of changing amplitude that is not a pure sine wave will have more than one frequency in it. For example, a square wave has harmonics - and lots of them. PWM is a particular variant of a square wave and, as indicated above, has a generous content of multiple frequencies.
However, it is often the case that the speeds at which PWM systems operate and the applications they are found in are not particularly sensitive to the true AC profile of the signal, so you don't need to be too concerned about them. BUT, the multiple frequencies are still there and they will exert their influence. You may have heard this when, say, a 1KHz PWM signal causes a 'buzzing' sound in a nearby audio circuit. It is all those harmonics above the 1KHz that cause that.