It looks as if the fog actor is turned off in game.
I've noticed that this seems to happen when there's nothing between the fog and the void. Try putting something out there past the fog. For instance, you could clone your skydome, flip it upside down, and scale it to be bigger than the one you have on top. Then just move it as needed down there so that the player can't see through to the void. The fog should reappear in game, covering up the new bottom skydome and making it look like it does in the editor.