I looked everywhere and can't find the Fade Out

Where is it

Thanks

You should be able to do this within the "Additional Song Settings" window "Fadeout ending # bars"

There are a few other ways to Fade out - in the Audio Edit Window, Volume Automation, Song Settings - I did a search for "fade" within the printable manual pdf to find the different placements, you can also do this within the online manual.
https://www.pgmusic.com/manuals/