Screen fade in has a black fog issue (rendering?)

I am using “Fade In/Out” from Screen Function Library for player teleporting. The function is suppose to fade in screen space but somehow after teleporting, player would have a fog of faded color in the world.(Video)

The delegate for calling fade in is simple. It is just a fade out then in process.
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If I call the function not between teleporting the player, it fades fine with no fog. The teleport move player about 20000.0f plus something away from original position.

I suspect it has something to do with rendering but I have no clue where to look.