try to select it inside your Map or in the Scene Outliner after adding it into your scene.
With the selected ExponentialHeightFog you open up your LevelBlueprint and rightclick.
Now you should see the following:
Select “Add Reference to ExponentialHeightFog”. This will only appear in the LevelBlueprint and only if you have selected something inside your scene.
Now, if you have a look at the ExponentialHeightFog, you will see that the Fog Density is located inside the Fog Component. So we need to get this:
And after this, you can just “Set Fog Density”:
I hope this helps. If you have questions, just asked me (: