I'm out on the Custom CSS Forum searching for almost the exact (I think) same answer, only I do NOT have the CSS upgrade and am trying to apply opacity to a background image in a Text Widget. My original thought was maybe there are some rules that are only "active" with the CSS upgrade...but maybe not if you have the upgrade and are having the same issue. If you don't mind, I'll piggy-back my issue example here as well:
<div style="width:100px;height:50px;background-color:#ffffff;filter:alpha(opacity=60); opacity:0.6; margin:20px;">
<p style="font-weight:bold;color:#000000;" align="center">Testing</p>
Both references to opacity in the code disappear everytime I save the widget. As bekini asked - is this perhaps a bug? Thanks!