When the opacity filter is applied to a clip and the play-head is at the beginning or end of the clip, and the opacity level is adjusted the setting will not stick.
The play-head needs to be at least one frame into the clip or one frame back from the end of the clip for the setting to stick.
It has already been mentioned here a few times about the numerous bugs due to introduction of keyframes including this one. Already fixed for the next version due June 2.