With the fade behavior, make sure that you have set the property "Destroy after fadeout" to no, otherwise you can't make a "cycle" because simply your object/instance does not exists anymore.
You will also need to have two fades behaviors on the same object for it to work, one fade in, another fadeout. Make sure for both that they don't attempt to destroy the object when they are done. Make sure to change their names to something obvious as well (you can modify the name in the behavior dialog).
I'd use something like FadeIn and FadeOut.
On FadeOut fade out complete - FadeIn - Fade restart
On FadeIn fade in complete - FadeOut - Fade restart
That should help getting your cycle.
But perhaps you should rather look into using the Sine behavior, using the property "opacity" rather to obtain that pulse effect. It sounds simpler and will achieve the same look in the end.