Looks right.
Except for that unlooping Loop-Point at 0:08, that should be corrected.
Using an Animation surely allows for some artistic Control over how the Fog can look, so that is good.
(Personally, I would find it cool if there were also some Whirls in the Fog-Animation, to make it more mysterious -- but that is just a Matter of personal Taste.)
On the technical Side, I would ask whether the Animation is running at a Scale of 100%. This looks like it would be an excellent Opportunity to have only a very small Graphic, like maybe even just 10% or 25% of the original Size, and scale it up with a few short Lines of Lua, for the Sake of Efficiency and because it is already blurry. (In which Case the Scaling-Origin would probably have be set manually or -- the Method I prefer -- there would have to be two super-transparent 1%-Alpha Pixels in the upper Corners, so the Image-Dimensions remain the same throughout the Animation.)
By the Way, the Ambience-Sounds in that Scene (combined with a foggy blue'ish Colorscheme) make me feel like I right inside the "Blade Runner" PC-Game again. o__o Which is very good!