Hmm.. it should. Let me check.

Looks like it's working, but working incorrectly.
The alpha is going down but it's making the SkeletonGraphic shift to additive instead of becoming transparent.

There was a problem with the shader not applying the tint color material property correctly, but fixing that didn't fix the additive problem.
Canvas Group probably just modifies all the vertex color alphas instead of passing through the material or the Graphic properties, which means it can't be patched.

In order for this to work, your alternatives are:
Option A.) Switch to straight-alpha for everything.
Export with Premultiply Alpha disabled.
Disable Premultiply Vertex Colors under SkeletonGraphic's Inspectors Advanced foldout.
And use a different UI Material with a different shader. You can use the "UI/Default shader" in this case.

or..
Option B.) Fade out all the SkeletonGraphics using their .color property.

@[borrado]
Separating the blend operations for color and alpha should work for the canvas group.
Instead of "Blend One OneMinusSrcAlpha", use "Blend One OneMinusSrcAlpha, SrcAlpha OneMinusSrcAlpha".
The alpha blend works fine, however, due to overlapping of the meshes, when in semi-transparent mode, the textures behind might be rendered and appear weird

In case anyone stumbles on this question.

Find the SkeletonGraphicDefault material and enable the CanvasGroup Compatible check box.