‘What clip? Should I create a black image in Photoshop?’
That is possible. But you can also make it in Vegas using Generated media (e.g. black and white gradient).
‘The both lower tracks are in alpha mode and are Child tracks. Hopefully here I’ve done right.’
No. Both middle and bottom clips should be in alpha mode, but only the middle track should be set to CHILD, not the lowest event.
Theo