Yes, it's too bad that Anim8or doesn't support fading. However, like you suggest, there is a way to fake it, which I've done several times. In Object Mode, start with the original object, and create multiple copies (9 is OK, 19 is better), changing the name of each one to reflect its level of transparency. That is, let's say your original, fully-visible (transparency set to 1) object is named "Box." If you decide to make 9 copies, name the first copy Box9, and change its material settings to a Transparenecy of 0.9. Copy this object and paste it as a new object, with a name of Box8, and change its material settings to a TRansparency of 0.7. Repeat this process until you create Box1.
Next, in Scene mode, let's assume you want to fade out. First, "build" a Target into the scene, and parent your Box object to it. Then, use the target to orient your Box where you need it in the scene. Place objects Box9, Box8, Box7, ... Box1 in the scene, and be certain you parent each to your original Target.
Next, make sure you're at Frame 0 in your timeline , one-by-one, select Box9, Box8, Box7,... Box1, and Key in a value of 0 for its visibility. This makes sure that only your fully visible Box is visible at the beginning of your video.
Finally, in the timeline editor, select the frame where you want to start your fade. Here, double-click on Box, and set its visibiliity key to 0. Select Box9, and set its visibility to 1. Move to the next frame (or you may want to change every TWO frames), and set the visibility for Box9 to zero, and set the visibility for Box8 to 1. Repeat this process for Box7 thru Box1, and on the final frame of the fade, set the visibility for Box1 to 0. It's an involved process, but you've now got a fade-out with visibility fading 10% (5% for 19 copies) for each step.
I know it's a pain, but it's the best you ca do with Anim8or right now. Good luck...