That fancy Sun & Sky actor is just a compilation of several light components, that you usually drag into your scene one by one. So it does not matter, if you use a Sun&Sky actor, or if you drag in a Directional Light (for the sun), a Sky Atmosphere, and a Skylight by hand, and adjust them one after another. The only fancy part, is that the compass and the lights are connected and will moving according to the time, you set there. But they are still all the standard components, you would use in a normal scene, just that you then set them manually into position (or you wire them by hand and make your own blueprint, f.e. for including an exponential height fog ).
Those here are the components, your Sun&Sky contains, it´s just dragged all those into a blueprint for making things easier, but they are still the same as the normal components:
Another thing might be, that the exponential height fog might look all black, because there is no actual ground or landscape for it to interact with. In the Video from Epic, they have this massive landscape (and look from pretty high above), from which light can be reflected back into the fog. Without a big plane as ground, or actual landscape, it just might become black, because all the light vanishes into underground, and the fog just represents this darkness as a result of this. Try to bring in a plane as ground, and increase it´s size to really really big, and check, if that makes the fog more appealing.
Edit: Ah, i also usually use a PostProcess to change the Bloom for the Lights to “Convolution”, to get the better sundisc.
(and i am not Presto ^.^ )