Fade transition is not possible yet. Maybe in the future.
Some themes does not accept shortcodes in widget areas.
If an other shortcode is working in your theme. Maybe it is a bug. In that case, I need to know which theme you are using. So I can test some things.
Ops,
I’ve the same problem.
I’m using Magazine Basic (by c.bavota)
Can you tell me something about?
Thanks
RMR
Add this line to the functions.php in your theme
add_filter('widget_text', 'do_shortcode');