@FlavioCamarao I'm not very good at doing these types of things (otherwise I would do it), but have a good understanding of how to.
Tools needed:
1. Image editor (I personally use Gimp as it's free and powerful enough to use for MUGEN needs)
Download:
code-https://www.gimp.org/
The effects they are using is a combination between 3 tools as far as I can tell
1. Blur / Sharpen (this will blur or sharpen and area with paintbrush)
2. Dodge / Burn (this will lighten or darken and area with paintbrush)
3. Smudge (this will smudge and area with paintbrush)
If you are using gimp all 3 of these tools are under "Tools" > "Paint Tools"
Play around with 1 or all 3 effects to make it fade in and out for each sprite.