It's not to do with object styles is it?
It might just be on screen only.
It's best to keep the object without transparency on a layer above the object with transparency, that might help.
Is the photo really showing transparency, or is it showing a conversion from RGB to CMYK and washing out? My suspicion is the latter.
It would help to know more about the document and its intended purpose (print, screeen, etc.). Also, are you sure you want to use transparency on that rectangle. Users sometimes are unclear on the differnce between transparency and using a tint of a color. If this rectangle is not in front of another object wtih which it is meant to interact then the odds are pretty high that it should have a tint applied, not a transparency.
Pardon if this is like asking if the computer is plugged in when it won't work, but if the opacity is applied to the layer, make sure that the two items are not on the same layer.