I might have found a solution, but the "FaceAlpha" option acts on both the figure patches and the legend symbols:
N = 100;
x = linspace(0,1,N);
y1 = repmat([-2;2],1,N);
y2 = repmat([-1;1],1,N);
figure; hold on;
h1 = fill([x flip(x)], [y1(1,:) flip(y1(2,:))],'r');
h2 = fill([x flip(x)], [y2(1,:) flip(y2(2,:))],'g');
ylim([-2,2]);
first = legend('area1','area2','NumColumns',2);
PatchInLegend = findobj(first.PlotChildren, 'type', 'patch');
set(PatchInLegend(1), 'FaceAlpha', 0.2);
set(PatchInLegend(2), 'FaceAlpha', 0.4);