This is just how it works. It would work the same in any game engine, in 2D or 3D in any other 2D skeletal system.
There is a solution for it. It's basically extra rendering code per character/skeleton and how to implement it depends on the engine you're using. Likely, it involves FBOs (framebuffer objects). You'd render the character first in the buffer at full opacity, then composite it with partial opacity.
