I get the feeling that this's a well known issue (hence, I didn't put it in the bugs forum), since it exists all the way back to version 2.3.1 of ZDoom and maybe even older. So, I apologize if it has been brought up before, but I'm just curious as to why it hasn't been resolved yet.
As you can see from the screenshot below, the fog doesn't affect decals. They don't "fade" the far you're to them like other things do (textures, sprites, etc.)
Note that this only happens with ZDoom. They work well with GZDoom.