you would still have to deal with the transition from one voltage level to another whether you use a DAC or a PWM. If you step up the duty cycle from 25% to 75% without any ramping up of the duty cycle, the output will have an RC charge up profile. It would really depend on what the OP wants the output to look like - can he accept an RC charge up/discharge profile on large transitions or does he need to have a linear transition. With either method, the same problem will occur.
In regards to where you need to place the capacitor... i suppose it depends on the distance between the DAC and whatever the DAC is feeding and the input impedance of that object that the DAC is feeding.