Hi,
i also tested the volumetric fog and after a lot of tweaking it gives good results and it does what it should. You see 3 Lights in the same scene… 1 Ambient Skylight only, 1 Directional Light and 1 Spotlight. To get shadows in the fog for the figure and only directional light, i have to change a tick in the mesh: Dynamic Inset Shadow (under Lighting) has to be off.
Mybe there are other ways to get there, but i like what comes out now. 
Ambient Skylight only:
Spotlight only:
Directional light only:
