Your hierarchy should look something like this:
Click on the wall GameObject and add "Script_Transparency_Manager" to it. The room entrance, marked by a teal diamond, is the north wall. Any walls that face forward should be marked as "North". South facing walls should be "South". Walls, however, facing west are "East", and eastward facing walls are "West". By default, the custom opacity should be 0, but you can change it with the slider.
0 = completely transparent; 100 = opaque
To set up room opacity, drag the VisibilityController prefab into the room prefab. If the room is where the player starts in a level, toggle "Is Start Room." For "Room", just drag the room prefab into it. For "Walls", drag each wall segment into it. Also, using the "Edit Collider" button, make sure the region matches the room's bounds.