When you8 lower the opacity it makes the he objects color more transparent, 100% opacity is the opaque. So what you see is probably correct. draw another shape a place it behind the shape with the lower opacity and you will be able to see the shape through it.
It seems to be working as expected.
On your screen shot the selection column of your layer panel doesn't show any object currently selected. Assuming the highlighted path in the Layers panel is the object having a fill with 0 opacity, the shaded circle in the appearance column indicates that the basic appearance of this object was altered. This means that you have to select the object, go to the Appearance panel and select the fill to which you want to change the opacity. Have in mind that the final appearance depends on all appearance attributes. You may choose Clear Appearance from the menu of the Appearance panel then fill the object with the desired color and change its opacity.