Little problem there, but I changed:
override protected void OnUpdate (float factor, bool isFinished) { alpha = Mathf.Lerp(from, to, factor); }
Which generated:
Assets/NGUI/Tweening/TweenAlpha.cs(37,29): error CS0115: `TweenAlpha.OnUpdate(float, bool)' is marked as an override but no suitable method found to override
to (remove bool isFinished):
override protected void OnUpdate (float factor) { alpha = Mathf.Lerp(from, to, factor); }
And it worked.