The problem is that .gif files don’t support semi-transparency. It can only contain 0 and 255 alpha values (invisible and 100% visible).
You can add a background which would let it fade, but only into that color. Also there’s the added problem of gifs only supporting 256 colors. Which means that if you have 20 colors and you make them 20% transparent, now the program has to mix the background and foreground colors together to create new colors, so now you have 40 colors, and the same for each time you change to a new opacity. When you reach 256 colors it will start to check your colors and pick the closest out of the 256 we’ve already used and change the remaining ones to those.