This is by design: because the fade behavior is active on startup, it retrieves the opacity to fade to when it is created, before 'On start of layout' triggers. After that it controls the object opacity, so your 'Set opacity' action is overridden.
The workaround ought to be to have the fade behavior inactive on start, and use the 'Start fade' action after the 'Set opacity' action. However I noticed this did not work, but fixed that for the next build.