I can always reproduce it in Poser9 and in PP2012.
Reported to SM.

But I have a temporary sollution for you.
build your figure and add the hair and save your figure with hair into the figures  library.

If the hr2 is embedded in the figures cr2 it will react normally and stay dull behind your fog square.

Can you check this on your side?

Poser 1, 2, 3, 4, 5, 7, P8 and PPro2010, P9 and PP2012, P10 and PP2014 Game Dev
"Do not drive faster then your angel can fly"!