You should update all your scenes / cues so that the parameter "Audio Linked To Opacity" of all movies in all scenes/cues are activated.
Once this is done, the fading will happen correctly. Be sure to set it for all movies in all scenes, not only for the one actually activated in the scene, or starting the scene would deactivate the setting for the visual previously playing, so its audio level will not be faded out.
The effect of "Audio Linked To Opacity" is that the audio level of a media stream will be: the level set in the media * the maximum opacity used to render this visual (across all surfaces). When the scene or cue fade the visual on a surface, it will fade out the old visual, so lowering its opacity, if no other surface is showing it and the audio is linked to opacity, audio is faded out.