For example: I want to add an effect to the layer with the song and the effect to slowly fade out (disappear). How can this be done in Music Maker 17 Premium?
Exactly what do you mean by, "to the layer with the song"? You have an "arrangement" that includes one or more "tracks" which contain one or more audio or MIDI "objects". Please use the correct terminology.
I suggest you read the section in the owner's manual about the "Dynamic Effects Editor". This will do what you want. This can be applied to a single track or a single object. However, to apply a single effect to the entire arrangement will require you to export the entire arrangement as an audio file and then import it into the same arrangement (as a "solo" track) or into a new arrangement. Then, the dynamic effect(s) can be applied to the entire piece.
In the future, it would be helpful to include more specific details in your posting (such as what effect you intend to add to the arrangement). If you have any further specific questions about dynamic effects, please ask.