I don't think the fog is changing for those ages, but however, they have an animated sun. To get the sky to change color dramatically they also use a plLayerSDLAnimation that changes the ambient color of the layer.
The plLayerSDLAnimation is possible if you're using PlasmaMax, but I'm not entirely sure if it possible in the main branch of PyPRP (It's in GPN's contrib though). The animated sun is a very easy and doable thing to do with PyPRP; just insert keyframes for the sun's intensity, color, and/or position and rotation. For the time of day to affect the animation, use a ageglobalanim.
http://www.guildofwriters.com/wiki/Animations should explain that. I've used animated suns before and they're pretty great, however, you must be careful to have your outdoors areas completely dynamically lit (no lightmaps or shadelessness). A tip for making the outdoors realistically lit at night or during the day is setting all your objects to have their vertex paint black (or, the darkest you ever want the objects to get). Hopefully this was helpful.
If you just want to change the fog, you'd need to set up a python file with a timer callback that updates the color of the fog according to the time of day SDL.
Currently getting some ink on my hands over at the Guild Of Ink-Makers (PyPRP2).