There's probably many ways to achieve what you want, so here are some ideas. I'll start with a question; what are your midi tracks driving? That's where you want to put your fade(instead of on the midi track).
Say your midi is feeding an instrument plugin on either an AUX or an INSTRUMENT track. Put the fade on the volume line of that track(in the case of an INSTRUMENT track, you can choose midi volume or audio volume; audio volume is what you want to show/edit).
Now if your midi is being sent out to a hardware synth, how is the hardware synth coming back into your session? If its coming in on an AUX track, put the fade on the AUX track. Hopefully, this helps. If not, come back with a lot more detail on exactly how your session is setup(its not possible to give too much info)
