It does fade in but it won't fade out later on.
local color = game.Lighting.ColorCorrection
local db = true
local player = game.Players.LocalPlayer
local target = game.Workspace.Lobby.LobbyPoint
local delay = 3
script.Parent.MouseButton1Click:connect(function()
if db == true then
db = false
for i = 0,1,0.025 do
wait()
color.Brightness = i
end
wait(1)
player.Character.HumanoidRootPart.CFrame = target.CFrame * CFrame.new(0,3,0)
wait(1)
for i = 1,0,-0.025 do -- From here
wait()
color.Brightness = i
end
script.Parent.Parent.Visible = false
for i = delay, 1, -1 do
script.Parent.Text = i
wait(1)
end
script.Parent.Text = "Continue"
db = true
end
end)

4 comments
You're telling it to set the brightness to 0 immediately, so you should change it to a decimal or something similar.
Doesn't work
You must have a different problem from what you think it is. I isolated the section of the code that fades the ColorCorrection effect out and in, and tested it in my own place and it works perfectly. It's likely that the game cannot find 'target' or the 'player' for whatever reason. Do you get any error messages when you run it?
Apparently no, all it does is not fade out but just fades in for some reason and also when I put in print() on both of them, only the fading in works.