Very recent versions of Crystal Space support fog which is correct in all those respects. Below are screenshots from the latest Beta which supports volumetric fog. The fog can be colored and is depth-correct. Color Well, color is everything. The basic functionality of a 3D Engine is actually generating a screen-full of colored pixels.
Various displays have other ways to handling colors.
For example, there are displays which use palettes of 256 colors. Other displays support 32768 or 65536 simultaneous colors at the same time. Even other displays support 16777216 colors. A 3D Engine has to be aware of these differences and calculate the colors differently depending on this. Crystal Space has a level editor called MazeD which is still in beta, but otherwise working very well already.