Have you seen a DFX map with coloured fog? If so, then somehow putting the coloured fog in is possible and you should ask the creator how he/she did it. If there's no map whatsoever with coloured fog in it, then what it says in the General Information window about the fog settings and all must be a leftover from a previous MED, such as the DFBHD one.
GL with getting coloured fog in ya map.
Chris