object=loadanimmesh("object.3ds") entityalpha object,.5
This won't work because the variable object points at the parent of the animmesh. You need to find the children and apply the alpha value to them individually.
object=loadanimmesh("object.3ds") entityalpha_anim object,.5 function entityalpha_anim(object,alpha#) entityalpha object,alpha for child=1 to countchildren(object) entityalpha_anim getchild(object,child),alpha next end function
That should work but I haven't tested it.