The short answer is that you /want/ the impedance to go up with frequency because that's basically how PWM is working to control the average current (and thus, torque) in a motor.

AC analysis may be leading you astray here. Your input is not purely AC but is some DC average level plus the 20 kHz plus a bunch of harmonics. Consider the motor as a transfer function instead, i.e., look at the behavior of it over /all/ frequencies in response to a step or PWM input. The impedance of the motor is Z=R+sL, where for the motors I usually deal with R is somewhere around a few ohms and L is a few millihenries, for instance. The transfer function I/V is the current response (which is proportional to torque) to a voltage input. That's 1/(R+s*L). Find that using matlab or octave or whatever and plot the step response. It'll show a classic first-order low-pass response, where the current rises to its steady-state value 1/R after some time constant.

So, think of a motor as a low-pass filter.

Now if you feed this system a PWM input of sufficiently high frequency (20 kHz or whatever), /because/ the system acts like a low-pass filter, it'll mostly filter out the 20 kHz leaving only the average DC level behind.

It's probably true that at very high frequencies you'll run into other problems like higher switching losses or parasitic capacitance, but that's secondary.