First try at Step sequencer-fade? -solved (CC7)

I assume it's a note held over a couple of bars?

MIDI note velocity isn't the same thing as MIDI volume.

What effect MIDI velocity will have on the sound depends on how the synth is programmed to interpret velocity.

Typically it's how loud to start the note, but velocity often has an effect on things like the filters and envelopes as well; depending on the synth and patch it can be used to do all kinds of things.

Generally, velocity is only expected to be sent at the same point as a MIDI note on command. If a velocity command is received by a synth at any other time, it may or may not interpret that and follow it - it may well just ignore it.

MIDI volume commands can often be used to reduce (or increase) volume during a held note - MIDI volume is generally continuous controller (CC) 7 off the top of my head (I may be wrong), but which CC controls volume can and does vary from synth to synth.

Another approach might be to use CCs to control the synth's amplitude envelope, e.g. altering the sustain part of the envelope to change volume. 

The step sequencer lets you put in any CC you want. How your synth interprets is up to the synth and how the patch in use is programmed.

If it isn't a held note and you just want it to fade more quickly, then see if adjusting the amplitude envelope's sustain setting in the synth and making the notes in the step sequencer as short as possible (lots of steps per beat) can get the effect you're after.