Regression: Tested in UE5/Release-5.0, and the issue is reproduceable.
This issue appears to occur when the SkySphere is deleted from the level, as leaving the SkySphere in the level causes the Volumetric Material to render the same as if there was geometry behind it.
Actual Result: The Volumetric Material does not render against the sky with Forward Shading on, it renders properly with Forward Shading off.
Expected Result: The Volumetric Material renders the same between Forward Shading enabled and disabled.
There's no existing public thread on this issue, so head over to Questions & Answers just mention UE-170174 in the post.