The messager dialog extends from panel component, you can set the 'openAnimation' and 'closeAnimation' properties.
$.messager.alert({
title: 'Error',
msg: 'Here is a message!',
icon: 'error',
openAnimation: 'fade',
closeAnimation: 'fade',
shadow: false,
style: {
boxShadow: '0 7px 8px -4px rgba(0, 0, 0, 0.2)'
}
});