hey, you are right, the API does support PWM through the Explorer outputs, I forgot about that.
The key thing to remember/understand is that the Explorer uses a Darlington array to drive its outputs, and as such can only sink to ground, not supply power. That means that your logic needs inverting.
See the following topic for a simple LED wiring that achieves this logic reversal:
http://forums.pimoroni.com/t/explorerhat-pro-output-issue/4105/2