I made simple Application:
-Added in designer simple pushbutton
-after click i create Qdialog
-I setWindowOpacity in Main window and in QDialog
-MainWindow works, QDialog does not

on pushbutton click slot:
QDialog *qd = new QDialog();
qd->setFixedSize(this->width(),this->height());
this->setWindowOpacity(0.5); //this work
qd->setWindowOpacity(0.5); // this is not
qd->show();