To reproduce:
1. Create a uGUI text
2. Add the tags <Color = green> and </Color> to the text, it should turn green
3. Try to change the alpha color of the text - the green text does not fade out

Explanation:
So the color field on Text changes the default color, where as the markup changes the default color for the marked up text. If you wish to have fading as you desire then this can be achieved by modifying the alpha on the CanvasRenderer like so:

using UnityEngine;
using System.Collections;

[RequireComponent(typeof(CanvasRenderer))]
public class ColorOverride : MonoBehaviour {
public float alpha = 1;

// Update is called once per frame
void Update ()
{
GetComponent<CanvasRenderer>().SetAlpha (Random.value);
}
}