Apologies, not sure how I omitted that important detail...
The problem I had is that that fader panel works well with everything in the scene except other NGUI objects. On scene change, the Main Menu is visible straight away while the rest of the scene fades in from black. I would like everything to fade in at the same time.
I have the Fader set to a depth of 50 while everything else is on 0 or 1.
Of course, I could do similar fades with the Main Menu panel as well, but I had expected my fader panel to obscure everything.