Again this has to do with the tweens starting. Since your circles are on top of each other, the first time through you see the colors mixing, but after the first pass, they are all hidden. Add the following:

import fl.transitions.Tween;
import fl.transitions.TweenEvent;
import fl.transitions.easing.*;
var yellowTween:Tween = new Tween (circle_mc.yellow_mc, "alpha", None.easeInOut, 1 , 0 , 1 , true );
yellowTween.stop();
circle_mc.yellow_mc.alpha=0;
yellowTween.addEventListener(TweenEvent.MOTION_FIN ISH, startBlue);

var blueTween:Tween = new Tween (circle_mc.blue_mc, "alpha", None.easeInOut, 1 , 0 , 1 , true );
blueTween.stop();
circle_mc.blue_mc.alpha =0;
blueTween.addEventListener(TweenEvent.MOTION_FINIS H, startRed);

var redTween:Tween = new Tween (circle_mc.red_mc, "alpha", None.easeInOut, 1 , 0 , 1 , true);
redTween.stop()
circle_mc.red_mc.alpha =0;
redTween.addEventListener(TweenEvent.MOTION_FINISH , startYellow);

yellowTween.start();

function startBlue(event:TweenEvent):void
{
blueTween.start();
}
function startRed(event:TweenEvent):void
{
redTween.start()
}
function startYellow(event:TweenEvent):void
{
yellowTween.start();
}