You can't animate the opacityPP of an instanced obj, you are "instancing " a single object. A work around is to create several duplicates of your original obj, replace the texture on each of them with a copy of the original, and have each one progressively more transparent. You would then create an instance library with all of these - in order- and have your particle instances cycle through the animation. you could script them to start the cycle at a certain velocity, or create a collision event and have the orig particle die and emit this new animated instance. etc...

Hope this helpful.