Did you activate the light cones for the spots that you want to see the light shafts eminating from? If not, you will not see any shafts of light no matter how much fog is in the scene. Lights in Carrara do not react to fog the way lights in the real world do. Light cones in Carrara are not volumetric, they are post render effects. Activate the light cones in order to see the shafts. It's in the effects tray for each individual light. To get your desired effect, try it with and without the 3D shadow option turned on.