What effect does the frequency have in PWM?
To a first approximation, frequency does not matter at all, provided it's fast enough to avoid the appearance of blinking. All that's important is the average power of the LED, which depends only on the duty cycle.

In practice, there are switching losses that increase with frequency. Each transition from high to low requires some amount of energy, such as to charge or discharge the gate capacitance of a MOSFET. There is also a transitional period where the transistor being switched is neither fully off nor fully on, and thus dissipates more power than it would at either extreme. With increased frequency, this energy cost is paid more times per second, thus losses go up.

Furthermore, parasitic components (the inductance of traces and leads, and their capacitance, among other things) becomes increasingly significant with increasing frequency, making design more challenging. At some point the circuit stops being a blinking LED, and becomes a radio, giving rise to a whole new world of design problems.