Constructing an MCU controllable resistor
0Ω - 1MΩ is a pretty tall order. The ±9V is also tough.

This might be an XY problem, so:


Do you really need 0Ω?  
What resolution do you need? (And, perhaps, do you need a linear or log response).  
How fast are you going to be changing this resistance?  
Is this requirement for such a part avoidable by modifying your situation?  


As you have found, digital pots have poor specs: The AD5241 is a 1Meg digipot, but only provides 256 steps, only operates over 0-5V, and has a wiper resistance of ~60Ω.

You could parallel two digipots of different ranges to get more steps, but the accuracy/linearity is so poor that this may introduce more issues. Also, for 0Ω, you'd have to build a bypass circuit, and you'd have to step the voltage down.

If you go with a FET (even a FET specifically designed for use as a VCR), you should expect operation in the ohmic regime starting at \$R_{DS(on)MIN} \simeq 20-200\Omega\$ with a range of maybe two octaves. You could try combining parts, but again, this is difficult, and increases your minimum resistance. However, FETs are more appropriate for high/bipolar input voltages.

Basically, if there's any way you can modify your circuit to use a VCA, OTA, or if you can tolerate huge steps (switchable resistor arrays), your life will be much easier.

If you can tolerate a bulky component, a stepper motor paired with a potentiometer may do a pretty decent job. But I'll warn you right now that dealing with motorized resistors can be a huge pain. Oh, and even a good potentiometer doesn't get near 0Ω.