N-Mosfet switch circuit strange behavior laboratory power supply
You probably have two separate problems. 

First, you do not specify your PWM amplitude or your gate drive capability. From the data sheet the input capacitance is about 14,000 pF. If your PWM logic has a current limit of, let's say, 10 mA, a PWM edge will take 3 or 4 usec to transition from 0 to 5 volts. At 62 kHz, that represents a total period of about .3 to .5 second per second when the FET is not fully on or off (62000 x 2 x 4 us = 496 msec). So it's no wonder the FET gets hot. Try driving your gate with a dedicated gate driver. Simply because I'm familiar with them, I like to use the MAXIM 4426/4427 drivers, but there are plenty of alternatives.

Second, at very low switching frequencies, you may well be getting interference with your supply's control loop. These typically have kHz or less bandwidth, and if you hit them just right you may be getting into a resonant condition. In this case, you are best off using an inductive low-pass filter on your heater.