if you have maplet, export a little level mesh, then try to alter the EntityAlpha.
Works fine here. It used to fail because some cards couldn't mid-alpha (ie anything between 1.0 and 0.0) multitextured meshes, if I remember, but Mark altered the restriction in an update yonks ago (technological progress meant the request could be considered safe I guess). I remember reporting being unable to set mid-alpha values for Maplet exports as a bug over a year ago (at least) and being told it was a feature at the time - but it definately works now because I'm looking at it.
As a wild stab in the dark, either your card can't handle the request or your Blitz3D is out of date. Does running exports through Decorator have any effect?