I don't think "On enemy destroyed" > "Start fade" will work anyway, as the enemy is destroyed as the trigger so it no longer exists (correct me if I'm wrong, never used the fade function)
The explosion method should work just fine though - I'm not sure why it wouldn't, what you're trying to do is pretty simple. I'd upload a .capx, but I use a bunch of plugins you probably don't have, so that could be problematic. Could you show (or write out) exactly the events you're using? It should go something like:
[Enemy.Health] = 0
[Enemy] Destroy
[Enemy] On destroyed
[Enemy] Spawn object [Explosion]
[Explosion] On any animation finished
[Explosion] Destroy