Quite a few of the models I tried have translucency on them applied via their DECORATE definitions.  I don't have any handy that use translucency applied via the skin graphic (if that's even possible).  I would try and set one up, but it's late so I'm off to bed.  Anyway, I checked again and the models (translucent and opaque) still looked correct with all fog types and shader fog on and off.
[edit] Graf typed whilst I was posting.  I'll have a quick look at a level with coloured fog. [/edit]
[edit2] Oh yes, coloured fog did it.  Opaque models too.
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