When you use the mental ray renderer with the "mr Photographic" exposure control, the volumetric lighting effects Fog, Volume Fog, and Volume Light render as very dim; or, depending on how the scene is set up, they make the background turn black.
The reason for this is that these effects are based on luminance values measured from 0.0 to 1.0 (100 percent), while the mental ray Renderer and exposure control work with photometric luminance values whose upper value is essentially unlimited.
If you want a fog effect, an alternative is to continue using the mental ray renderer, and adding Mist as a volume shader.
If you want to use Fog, Volume Fog, or Volume Light, use the Scanline renderer. If you have set up photometric lights for the mental ray renderer, you will have to make further adjustments: