I am trying to fade an LED with the TLC5940
Not with just those 4 calls, you aren't.
Tlc.set(1, 4095); // That would set output pin 1 HIGH (Sets the output to have a greyscale value of 4095, which is the max value).
The comment here, and on the next line, should give you a clue that you can use any value between 0 and 4095 to set the brightness of the LED.
Also, the comment following the Tlc.output() call should make it clear that you need to call that function to actually send the value(s) to the LED(s).
So, to fade a single LED, you'd use a for loop containing a call to Tlc.set() using an ever increasing (or decreasing) value for one pin, followed by a call to Tlc.update().
To fade several LEDs, you'd use a for loop containing several calls to Tlc.set() using an ever increasing (or decreasing) values for one of several pins, followed by a call to Tlc.update().