I faced this same challenge. I wasn't able to locate a "change over X amount of time" variable, so here's my workaround (not the best, but it works)
Let's say you're starting at 0% opacity and want to end at 100% opacity. Let's say your material is "concrete".
I would take the material and duplicate it 10 times, and name each one "concrete0", "concrete10", "concrete20" etc all the way up to "concrete100". Each material has the same color/texture, but has its opacity set to the proper value (concrete10 has 10% opacity, etc).
My FSM would use the "set material color" action, set it to concrete 0 on start, wait X amount of time (using the wait action), and then go to a new state, where it assigns "concrete10", waits the same amount of time again, and then sets it to "concrete20", etc.
You can change the speed and smoothness of the opacity transition by adding more materials with smaller changes in opacity, and changing the "wait" time between each state.
Again, I'm sure there's a better way, but this was my clumsy method