Why does my fog light the scene when I use V-Ray with GI?

The concept of "FOG LIGHT" is very different in V-Ray. To get a "FOG LIGHT" you need to have "FOG" in the scene. Its better you search internet to learn about V-Ray fog light because it will take too long to explain here. This link will give you somewhat overview of the topic.

http://help.chaosgroup.com/vray/help/150SP1/examples_vrayenvironmentfog.htm

Its slightly complicated process and its processor intensive. Its better to use POST effects to create FOG LIGHT.