My understanding of a Peltier cooler is that the cooling is proportional to the average current but the power loss (heating) is proportional to the (RMS) current squared (due to the cooler resistance). Thus unfiltered PWM will be less efficient to control the power since the RMS current is higher than the average current. So, if you want to use PWM to control cooler power, you want to filter the PWM signal with an inductor so the average and RMS currents will be essential equal and the Peltier efficiency is maximized.