Except for where you exit the game, this is now done - that you, Softcoder!
The reason it cannot be done when MegaGlest shuts down is because of the way this 'shutdown' is done: everything is 'killed' abruptly. It would require separate handling of just the audio code to change this and allow for fading there.
Edit: Actually fade-out on exit is already done, too! Softcoders' programming is faster than my writing.