Fades on MIDI items affects the velocity of the notes going out. It cannot affect your instrument's audio output which happens later in the signal flow. Use volume envelopes instead (at a stage where the audio exists) or some CC depending on how you are generating the sound.
Before fade-in:
After fade-in:
For your FX eating MIDI notes: ensure its MIDI output setting is not set to "Replace" (which is the default). Right click on the "X/Y out" button to get that menu: