You’d want to create a new event before triggering OnMenuExit. The new event would replace your OnMenuExit node in order to allow the audio to fade fade. Once the fade out completes, then you would be safe to move on.
As a test, just so you can see that the fade out works. Create a new event and trigger that instead of leaving the menu (so keep the menu loaded, don’t change to a new level).
Also, just to clean things up a bit. Instead of dragging from the Audio Component node above, drag in a new node & select ‘GET’. Do this first & test again.