You must create fade files at region boundaries before using the Edit>Consolidate Selection command or the Duplicate AudioSuite plug. The fades created by Pro Tools using the Auto-Fade feature (Setups>Preferences>Operation window) are only performed during playback and do not appear in the Edit Window, and are not written to disk (monitoring purposes only).Bouncing to Disk is the only means by which you can include Auto Fades to your selection.