Thank you, #spikeyxxx, for your ideas.
I tried your solution … and, well, it works quite well – as long as I use it with Cycles, but when I switch to Eevee, the fog is gone completely, as before. So, whether one uses the gradient texture or your gradient construct – the result is the same.
I’ll try to follow the course using Cycles now, but since this course is intended to show how one can achieve stunning results using Eevee, being forced to use Cycles somewhat contradicts it’s purpose. 🙁