Audio PWM DAC filtering
Yes, you should filter off the PWM frequency. 'Tweeters' (high frequency speakers) are susceptible to damage from excess power at high frequencies. 

Since you presumably want to keep all frequencies below about 20kHz, a simple RC filter will give only a little over 6dB of attenuation at 45kHz.  You may want to consider a higher-order filter if the aim is to connect this to a hi-fi and speakers. (This filter design tool from Analog Devices may be helpful).