Looks like this behavior was working as expected until 5.1 Preview 2
1. Create a blank project and open a blank map in UE 5.1
2. Turn on Volumetric Fog in Exponential Height Fog actor and increase fog density to
3. In skylight, change cubemap type to specified cubemap and configure it to use
DaylightAmbient Cubemap. Increase skylight intensity to 10
4. (Optional) Remove the sky sphere, volumetric cloud and sky atmosphere to avoid
5. Observe the difference in this scene when GI method is set to Lumen vs None
Do the same with UE 5.0.3, and observe correct behavior with Lumen enabled.
There's no existing public thread on this issue, so head over to Questions & Answers just mention UE-170986 in the post.