You do not receive "radio message" for those "opportunity contacts." (so called, if I'm correct) They just appear on the map, that's it. You get radio message (which you can see via 'M' key press) for convoy, task force etc. Those radio messages are broadcasted by BdU in SH3.

Icons get fade when the information about it (lone ship or convoy or whatever) becomes obsolete. I often "mark" the icon before it's gone to plot an intercept course.

Yeah, there should be radio messages for those opportunity contacts as well, since it indeed is radioed information. It's not the case of current game, unfortunately.