In 5.4 preview 1, the exponential height fog blending works, see:
This is just a heterogeneous cube with a volume noise function material, a red light and a volumetric exponential height fog.
Blends perfectly with volumetric height fog.
Depth sorting of the heterogeneous volumes is still unsolved though.
In tis image you can see I lowered the fog density, and the heterogeneous volumes can now cast shadow on the ground from the point light
I tried however, the heterogeneous volumes cannot cast shadow on each other, only on themselves and on surfaces.
Also, another limitation: coloured extinction does not alter the light color passing through it. If you got red smoke and a white light, it’ll light the red smoke, but the light passing through will still be white. This is shy in my images here, the light is coloured red just like my extinction in the volume material.