How do I set a second "build in" animation in Keynote?

There are a couple of ways of going about this. Hopefully one of them will work.

First-up, you can't have multiple Build-In actions on an object - they only build in once - but you can have multiple Actions applied to it. Unfortunately there isn't a 'fade-in' action, so this might not be helpful anyway.

What might work better is the second option - namely obscure your movie with a solid rectangle that covers the movie. Attach to this shape an Opacity Action with the Opacity set to 0%. Change the Build Order such that this action happens first (whether automatically or on click), and the Start Movie action follows.

This works well if you have a static background that the obscuring object matches (such as a solid color), but may require more effort if there is a complex background.

In this setup, you're not technically 'fading in' the movie, but you are revealing it by making the overlapping object transparent. To the casual observer it looks the same :).

If that doesn't work, your third option is a dummy slide that matches the pre-move state of your presentation. This slide is inserted with a fade out action, thus revealing the movie. It's similar in concept to the opaque rectangle above, but it applies to the whole slide rather than just the movie, thus may be better for more complex presentations.