You are right - it probably doesn't matter so much. The audible whine would be one of the bigger factors.
Re motors though, all the power ends up doing work, even if the frequency were 1Hz. What happens is that when the motor first starts the coil is a resistor (and an inductor), and yes, there are losses from resistive heating. But as the motor spins up to speed, there is a voltage that appears called back emf which counters the volts going in. You can even measure this in between power pulses. Take a 3V motor unloaded, spin it up to full speed and it will have almost 3V of back emf. This means the motor hardly draws any power, which is what you expect for an unloaded motor. So with pwm driving a motor you can't really have a frequency that is too low. (well maybe 0.1Hz with the motor stopping and starting but even 10Hz will work fine).
A motor is happiest at a certain load and speed and efficiency graphs are available for most motors. But if you are running a motor at its most efficient, it won't really matter if you are driving it with a 100Hz or 1Khz or 10Khz pwm.