As far as I know, you can’t change the opacity of individual pieces in Shatter.
If your effect is using a custom shatter map, you could create a composition based on it with each piece white (we’ll call this precomp Opacity_Map).
Use the Opacity_Map precomp (as a track matte) to control the opacity of your layer that you want to shatter.
Precompose the Opacity_Map and your layer (we’ll call this new precomp Shatterable).
Apply your shatter effect to the Shatterable precomp.
Then in your Opacity_Map precomp you can animate the pieces from white to black.
It’s not perfect, it will take a while to set up and it’s certainly not automated, but at least you can make your pieces dissappear.
Just out of curiousity, why do you want to do this? Perhaps someone may have an alternate effect you might try.
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