Are you forgetting that a rollover object has two parts? It has a hit area and the object that appears when you mouse over the hit area. Each part can have different settings in the Properties tab. In a rollover caption, the object that appears is a text caption. In a rollover image, the object is an image.
If you select the rollover object on the timeline, the Properties you see for it in the Properties tab are for the hit area. So having fade in or fade out set there will not affect the object that appears on mouseover.
If you select the caption or image on the stage in Edit mode, the properties shown in the Properties tab are for that specific object and can be different from the hit area of the same rollover object.
In your case, make sure that your image is set to have fade in or fade out. Fading on a hit area of a rollover object is not really useful at all.