Ok, I did some tests... Its the vertex/pixel stuff.
With pixel, i dont have any fog, with vertex, i have lot's of fog :-)
I am not sure, but could it be that the 'vertex' is less good as 'pixel'.
Because with vertex, the corners of my skybox are more foggy than the rest. By that you can see clearly that we are using a skybox. And thats not fun for the players
My graphical card (Radeon 7500) isn't that old I think.
Less then a year anyway...