In this paper, we provide new results about the free Malliavin calculus on the Wigner space first developed in the breakthrough work of Biane and Speicher. We define in this way the higher-order Malliavin derivatives, and we study their associated Sobolev-Wigner spaces. Using these definitions, we are able to obtain a free counterpart of the of the Stroock formula and various variances identities. As a consequence, we obtain a sophisticated proof a la Ustunel, Nourdin and Peccati of the product formula between two multiple Wigner integrals. We also study the commutation relations (of different significations) on the Wigner space, and we show for example the absence of non-trivial bounded central Malliavin differentiable functionals and the absence of non-trivial Malliavin differentiable projections.