In terms of power analysis of the waveform, the fundamental frequency we use will be the line frequency of the output, after all that is what we use to calculate what the motor speed will be for a given output. The PWM signal is designed to mimic that fundamental frequency, that is smoothed by the inductive nature of the motor and of course any output filtration present.
For power analysis of inverter outputs, I have gone up to the 375th harmonic of the line frequency to obtain all the power components of the waveform. That takes you up to around 19 kHz on a 50 Hz line frequency. If you want to look at the harmonics of particular PWM pulse, then you are obviously going to need much more than that, I cannot imagine you going over a 50 MHz bandwidth though. For harmonics you are looking more at a spectrum analyser / FFT analysis of the waveform, so you would need to make sure your scope has that capability.
Unfortunately, differential probes are expensive, but they allow these kind of measurements to be made safely, so in my opinion are worth the investment. The probe I have is rated for 1.3kV differential and 1000V to earth. I personally wouldn't want to go lower than this, so I think your selection is fine.