Well,
Here's your answer: you cannot have music automatically cross-fade in Audion 2.6.1 (latest release) as it does in iTunes 2.0. As "tngland" suggested; you can open another contrl window and do it yourself, but that's not an automatic cross-fade - that's a "DJ" crossfade. You'd have to sit there and manually cross-fade every song (like a DJ does - the better ones anyway) if you wanted to have the effect constant for a playlist.
If it's any solace, there's a big push by several people on the Audion development bulletin boards to have this effect added in the next major release. Though it may not have to be a "major" release for this to happen, since the people at Audion actually update their product very frequently (as for "Transmit" - that's another issue entirely).
Keep your fingers crossed,
BoulderDash