I can reproduce this bug. We'll work on getting it fixed.

I can confirm this bug is still happening in 3.1. It might be just an oversight, or the way Unity designed things. Apparently Unity only considers that an animation is "active" - for event checkings, etc - after any transition that are blending into it are complete. For our game we had to add a "fire hack" toggle for the weapons with instant or very early fire (relative to the animation start). For weapons with a relatively long pre-attack, ie. attack starts after some preparation move, events work just fine. Another alternative is having another layer with fake animations (ie. that doesn't affect the actual animations) but with the same duration and firing the events instead of the main animations. These fake animations would always transition in cuts instead of crossfading. The big question in that case would be, if you can't see the relevant animation (eg. attack) playing to sync the event, why bother? True, better add any short delay manually.

Ideally, all events on all transitioning animations should be considered, always. Can you make a plight for us to get this changed, Rune? :)

This bug was also in 2.5. It also doesn't execute Animation Events when the animation is cross fading.