Till Tantau being the creator of BEAMER and Tikz-PGF the overlay work with tikz. Just add the overlay specification after the command name.
For example, here to make the transparency visible on the second and all subsequent images:
draw<2->(0,0)--(2,0);
Edit 2: Beamer manual p 85:
9.6.1 Making Commands and Environments Overlay Specification-Aware
beamer extends the syntax of LaTeX's standard command \newcommand:
\newcommand<>{< command name>}[< argument number>][< default optional value>]{< text>}
[...]
The additionally allowed argument is the overlay specification
Till Tantau wrote all Tikz commands in this way. It is therefore essential that the overlay follows the name of the command. So we can't trace a path in sequence. It is necessary to write several paths, each written with a given overlay.
Then, it's not possible to display parts of the \draw command in sequence. It is mandatory to write as many \draw commands as sequences.
\documentclass{beamer}
\beamertemplatenavigationsymbolsempty
\usepackage{tikz}
\usepackage{pgfplots}
\begin{document}
\begin{frame}[fragile,t]
\frametitle{}
\begin{tikzpicture}[scale=.9, transform shape]
\useasboundingbox(0,0)rectangle(8,8);
\draw [thick,-latex](0,0) -- (8,0)(0,0) -- (0,8.);
\draw<2-> [very thick,blue] (4.,4.) +(-45:4cm) node [black, xshift=.24cm, yshift=-.05cm] {$D$} -- +(135:4cm) +(40:4cm) node [black, xshift=0cm, yshift=.05cm] {$S$} edge[very thick, purple!90!black, solid] ++(-140:4cm);
\draw<3-> [thick, black, densely dashed] (0,4.) node [black, xshift=-.28cm, yshift=-.05cm] {$P_0$} -- ++(0:4.) node [circle, draw, solid, black, fill=black, scale=0.2, xshift=0cm, yshift=0cm]{} -- +(-90:4.);
\end{tikzpicture}
\end{frame}
\end{document}
Note: instead of writing two \draw commands:
\draw [thick,-latex](0,0) -- (8,0);
\draw [thick,-latex](0,0) -- (0,8.);
you can write only one draw command
\draw [thick,-latex](0,0) -- (8,0)(0,0) -- (0,8.);
\visibleor\pause. If i'm right it could be flaged as a duplicat. – Bobyandbob Sep 03 '18 at 10:55