This works for me just fine.
Foreground Pen set to Black (Pen 1), Background Pen set to Transparent (Pen Index: 0), Fill type is 25%, 50% or 75%, and it results in an increasingly dark grey and increasingly opaque Fill which can be seen if you place anther element behind the Fill.
So I don't see any problem here.
Maybe something with your graphics card driver? You could try an update to the latest driver version?
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