When you edit the gradient in a Gradient Overlay effect, and you turn the color of one side to 0% opacity and THEN try to change the color of that color, the color selector window immediately closes after a single click. It does make the change, however. You can also set the opacity to 1%, select your color and move it to 0% afterward.
Why would you want to change the color when it's 0% opacity you ask? Because it still affects the transition and blending of the gradient from one side to the other.