Maybe they boosted the saturation on the sky to compensate for the flat coloration of the light rays? Or maybe they only rendered the volumetrics within a certain intersection distance from the camera, or maybe they used a controllable height falloff to make the transition between fogged geomery on the ground and clear sky pixels more gradual. There are lots of ways to cleverly omit the light from open space pixels in empty, spacious areas. But by default, just having the whole light path illuminate empty pixels will definitely exacerbate that foggy effect.