Here's a possible workaround:
*Open your image, and create a duplicate layer of it.
*Make the selection for your desired reduced opacity area.
*Under the Channels Palette, click the "Save selection as a channel button at the bottom. By default, it will be named Alpha channel 1.
*Go back to your Layers Palette, and go to Select>Modify,Contract, and contract your still active selection by 2 pixels.
*Now go to Select>Feather, and feather your contracted selection by 2 pixels.
*With the duplicated image layer active, hit your delete key, to eliminate the reduced size, feathered, selected area.
*Go to Select>Load Selection, and choose the Alpha channel you saved earlier.
*Now, with the original layer active, and your Alpha channel loaded, reduce the opacity of the selection. The feathered area of the 2nd layer will smooth the opacity reduction of the 1st layer.
Hope this helps!