The first-order phase transition of ethane confined in MCM-41, i.e., capillary condensation, has been measured through an isochoric cooling procedure utilizing differential scanning calorimetry (DSC) under conditions ranging from 206 K and 1.1 bar up to the pore critical point (PCP). The PCP has also been determined using the three-line method developed earlier based on the vanishing heat of phase transition. As in the bulk phase, no first-order phase transition can occur above the critical point, which also implies that vapor can transform into liquid gradually by following a path around the critical point through supercritical region. For the first time, the gradual phase transition is demonstrated with ethane in MCM-41, which is achieved through a multistep process with paths proceeding around PCP without crossing the capillary-condensation curve. The occurrence of gradual phase transition in nanopores, thus the confined supercriticality, is confirmed while our consistent DSC measurements are also well demonstrated.