You can fade in/out varying he sprite opacity. Darkhog shared some time ago a splashcreen, the old GD logo fade in and out, you can get it here:
[url]GDevelop splash for your games!]
To setup a simple fade-out, just do:
Conditions: No conditions
Actions: Do - TimeDelta()*100 to the opacity of SpriteObject
It subtracts 100 opacity units per seconds, opacity is between 0-255, so the object will disappear in 2.55 seconds (if the starting opacity is 255). If you keep subtracting, instead sets a negative opacity, GD sets it = 0 