I think the auto-fading will have to be part of the program in that zone.
I don't think zones have the ability to fade out by themselves.
And it might depend on what instrument you have.

So... for that zone, for the controller you choose, set it up to send a midi controller. Pick one that isn't used for anything else.

Make a copy of the program that you want to use in that zone. Edit it. Hope that it has a global ASR or FUN available. If it doesn't, stop; pick a different program.

For the global ASR, set it to trigger on the midi controller number that you picked when you setup the zone controller. Pick a release time; set a fast attack time; set the mode to normal. You'll usually play with the control turned up; when you turn it down, the ASR will go into release mode.

On the AMP page, control the overall amplitude with the global ASR. Repeat for each layer in the program.

If there's not a free ASR, but FUN2 and FUN4 are available, you can hook them up to approximate an ASR, sort-of. FUN2 is "b > a", connect that midi controller to "b", and set "a" to 0.5. FUN4 is "lowpass", input comes from the FUN2 comparator, and pick some constant for the lowpass cutoff to give the gradual fade you want. Connect FUN4 to the AMP page as before.

I think this will work; I should have tried it myself before bothering everyone with all this.

I was actually hoping someone more experienced would have already let you know the secret easy way, instead of this hack.

Good luck!

(maybe easier: get a foot pedal and fade it out by foot...)

Edit: here's a diagram for the lowpass FUN hack:

I am going to give this a try. What you explained does make some sense now. I was planning on using a string instrument to assign to one of the midi controllers. Thanks for the tip!