Gradient functionality was only added to Graphviz on January 26, 2012; until a new version of Graphviz is released, stable version 2.30.0, you need to download Graphviz development version 2.29.20120127.05.0545 or later.
In addition, gradients are apparently only implemented for the Cairo / Pango renderer; in my tests, Quartz (Mac) and GD renderers revert to using only the first color. In particular, this means that if you are working on a Mac and using the graphical viewer Graphviz.app, you will not see gradients yet.
digraph G { Gradient [style="filled", fillcolor="orange:yellow"] }

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