Opaque overlay becomes transparent when fading out both video tracks in Sony Vegas
This is the expected behavior for fading two video tracks.  Video tracks are blended in order to build up what you see as an end result.  When you make the image mask (the overlay) for the chat pain start fading to transparent, it allows the images underneath to be seen.  So if it is at 70% transparent, it lets through 30% of the underlying layers, which in turn is letting through 30% of the layer under it.

To get around this, you need to fade the combined video rather than the individual videos.  The easiest way to do this in your case is going to be to use parent/child compositing relationships.  By telling Vegas that the two clips are related and should have effects applied to both, it should allow you to have an effect applied to the sum total of both tracks instead of needing to apply it to both individually.

Sony actually already has a pretty nice write up on the feature available here.