I just had this same problem and found a way to fix it, though it’s a very, very specific situation. Still, maybe this will help someone.
All my lights are currently dynamic and I have “Force No Precomputed Lighting” turned on in World Settings (I feel I should mention this is purely for the sake of iterating quickly while designing; never do this if you want your game to be performant). I have an ExponentialHeightFog actor with volumetric fog enabled.
I found that if I disabled volumetric fog, the fog showed up fine (and obviously looked completely different and awful). This clued me in to it being something in the volumetric fog settings; turns out I needed to set the emissive in the volumetric fog to something besides “black”, so I turned up the Vibrance to 0.001 and everything shows up in “Play” mode now. Very weird and specific, like I said, but there you have it.