Do you have a background in the scene, it will only show up if there is some kind of backdrop or enclosure. 

Besides the density, there is the number of steps, and also setting in the light properties (atmospheric strength) for the strength in which it affects the atmosphere.  These all play a part in how it turns out, and can be tricky / a pain to get right. 

Hope this helps.

--------------------------------------------------------------------------------

Consider me insane if you wish, but is your reality any better?