I followed the fading text tutorial exactly, starting with a new document and everything came out perfectly for me.
In order turn an animation into a movie clip you need to first create the movie clip and then create the animation inside the clip.
Let me see if I can explain how to create fading text from scratch.
Start a new document, any size. Use the text tool and type whatever you want. Click on your text and press CTRL+F3 to open up the properties window. Make sure your text property is set to “Static Text” not “Dynamic Text”.
Right click on Frame 20 (or whichever you choose) and select “Insert Keyframe”. Now right click on frame 40 (or whichvever you choose here) and repeat the process. Right click in both of the long blank grey areas and choose “Insert Tween”. Do this on the last frame also.
Click on Frame 1 and select your text area. Open up the properties window and where there is a drop down box that says “None” you will need to select “Alpha” and alpha that to 0%. Repeat this process for Frame 40 (or your last frame)
I hope this helps.