All the shaders work fine, but you must use them judiciously. If fogging doesnt work it's because we didn't put it in the shader for some reason. Fog can be easily added.. in any HLSL pass just add this your vertex shader output struct:
float Fog: FOG;

and then in your vertex shader:
// Add fog
float3 PositionWorld = mul(inPos, matWorld);
float ofog = 1 - (distance(PositionWorld, vecViewPos) - vecFog.x) * (vecFog.z*1.5);
Out.Fog = ofog;

In some shaders I don't add fog because they are meant to be used indoors. For instance my Ultimate lighting Shaders were designed to be indoor only, hence no fogging and no sunlight. This can be easily be changed however.

In any case, There are indeed problems with tangent lighting shaders on World geometry. To make it work better, make sure you set all the blocks to "flat" and have "tesselate flat" set to "auto". Here there can be a problem though which I have informed JCL about, but i dont know if he has taken a look at it yet.. sometimes if vertices are welded you can get odd lighting problems. So what i do is either use models for everything, or use blocks where the egdes dont touch.

Of course using shaders will slow you down a bit depending on the complexity and what kind of card you have. There are some specifc optimizations that could be done with the shader system that haven't been done...however, i have good performance in my game- which isn't a "test" level, but huge outdoors areas. My terrain has the max number of faces allowed on a terrain (32,000 or something).
My terrain shader mixes 4 color textures, 2 detail textures, a main normal map,vertex lighting, and an environmental bump map. The framerate is hardly effected by all this. On top of that all my regular models like guns, monsters all have 2 pass, 8 light per-pixel lighting shaders. My water does cubic environment bump mapping. Even so i get good framerates, even with a render backbuffer Dll doing fullscreen Bloom effect.

In general using terrains and models is faster than world geometry. I tend to avoid world geometry whenever possible.