It's a second animation tied to the bullet change using "with previous."

You want the effect Emphasis/Change Font Color. Select your font color and then the speed of the transition (Medium seems about right to me.)

You'll have to add this animation in between every one of your bullet changes and select the right text. In the actual bullet change animations, make sure Effect Options, After Animation is set to "don't dim."

So you go to the next bullet and simultaneously, the previous bullet fades from its original color to whatever faded color you choose.

Now, if you can live with the dimmed text going dim all at once and not fading to its dim color, you can just set Effect Options, After Animation to the gray or other color you prefer and be done with it.

Crap like this reminds me of the glory days of Lotus Freelance Graphics and its one-click "bullet build" icon. 15 years later Microsoft has still never caught on.