If I import a custom palette, using the Color tab's "Alpha" settings does not result in particles that fade out/in from nothing. The particles instead fade to/from the darkest color in the custom palette.

looks like JASC-PAL (aka .pal) doesn't support alpha information. Is there another way to import custom palettes that does?

The "particle render" view does show particles fading in/out as expected. The "pixel render" and "sprite render" views both only show palette colors, i.e. no alpha.