Capacitor on line with high frequency digital signal?
With a lot of hand-waving you can say that capacitor acts as a short for the AC component of your PWM signal, thus reducing the signal to a constant voltage.

This is however only a crude analogy to what really happens. A capacitor is not an ideal 'short', so the AC component is only attenuated. By how much depends can be calculated from the R and C values, and the frequency.