Windows 10…Audacity 2.1.3…exe installer.
When I use the fade out effect, the volume does not decrease until the very, very end of the wave.
You need to select/highlight the part you want to fade-out. If you want a 10-second fade-out select the last 10 seconds, etc.
If you select the whole song the whole song will slowly fade out (with "half-volume’ at about the middle of the song). If you select a few seconds in the middle, that part will fade-out and after the fade-out the volume will suddenly jump-back to normal (usually not what you want 
).