If you set the effect for a dimension as the_end, the game will override some option for the biomes, such as sky colour and fog colour, rendering the black background colour at minecraft:the_end dimension by default. 

This is kind of important since the_end effect is the only one which sets an overworld like fog, without objects in the sky.

This is probably due to that effects makes use of the "end sky box" however, even if that were the case, substituying the fog shouldnt be happening. In the atached sceenshot, you can see that the fog, even though is set to the vanilla colours of the biome, it renders it as a blackish colour (most visual on the corners).

I also provide the corresponding data pack. which makes the vanilla nether have the_end effects.