I too prefer to Fade at the Audio stage. However, I used to record directly to tape from Midi output in the early days and used the following method for fades.

Highlight the region you wish to Fade.

Select a Blank Midi Track and give it an unused Channel Number say 16.

Select Edit > Fill. The Fill Panel will be mostly completed.

Enter 100 for start value (this should avoid sharp increases in volumn at the start of the Fade).

Enter 0 for the End Value.

Press OK

Enter the Controller Number as 11 (Expression) or 7 (Volumn) - I prefer to use 11 so as not to overide the Mixer Track Volumn.

Press OK.

Highlight the whole Track, Copy and Paste (don't forget to use the Merge Option) over the main track and check to see that the results are suitable. If not try Undo and try again.

When happy with the Fade, Copy the Test track and Paste over all the other tracks.

This gives a very smooth linear fade. I hpoe this helps.