You have to realize that a better name for the play node ( for the sequence would be ) ‘start to play’. You see, when you call that play node, the system doesn’t wait, it just starts the sequence and then goes straight into ‘set fog density’ and then immediately into destroy. It’s all instantaneous.
You might have more joy getting rid of the fog actor is you drag a line off it and look for destroy actor.
Also, check you don’t have more than one fog actor.