This issue has been present for years now, people complaining about the same thing 3 years ago. It's 2022 and the issue remains.
Audio does not fade for me, it hard cuts after the video transition finishes. Using a "Media Source" with an MP3 file and a 1,000 ms fade transition. No fading of the audio at all. When switching away from the audio it doesn't even cut out the audio at the end of the 1,000 ms transition, it instead cuts the audio out around 500 ms after the video finishes transitioning. When switching to the scene with the MP3 playing it instantly resumes playback at full volume, no fading occurs.
On top of all this, the audio playback system is broken (with or without hardware acceleration). The audio crackles horribly any time it starts playing, stops playing, restarts playing, transitions to another scene, when the OBS window loses or gains focus, or sometimes randomly during playback. Further, I can't seek in the MP3, or it dies and stops playback. Or it continues playing, but can no longer be heard at all. By going to the Media Source and clicking Okay makes it resume being heard. Stopping and starting it may or may not make it be heard.
The audio portion of OBS is completely unusable for me and many others in its current form.
Examples of several of these audio issues:
@Kro:
To monitor the audio you need to find the item in the mixer, then click the cog next to it, then click "Advanced Audio Properties", then select "Monitor and Output" from the drop-down beside the source.