Object accuracy setting is?  Lighting quality setting is?  If GI is used, are both light through transparancy seetings on?

I tried all the render presets from lowest to highest and ticked the Light through transparency option each time and ticked the second one when GI was enabled and there was no difference.

Is this the default fog built into Carrara, or a plugin?

This is the default box shaped one. I inserted it, moved it into position and scaled it to fit the area.

Could  the problem be in the shader? As a test I set Colour to grey and for Alpha I chose Texture Map and pointed it to my alpha map (I even checked that the black and white values in my alpha map were perfect black and white). The remaining values I set to None. When I rendered again I got the same result.