I think the problem might be that you are turning off scenes and don't have them into a show. The fade times written in scenes only have an effect in shows or jumping between scene to scene.
Try programming a show with your scenes and see if that fixes it.
Or you can program a scene that has the shutter all the way up and the dimmer out over however much time, that should work. But you will see color, position, gobos, etc change with this. Try doing like I do in the Hog and make the 'scene' below it a BO but keeps the same values for all other attributes, this way it is a smooth fade to black with no crazy colors/gobos/movements etc.