It's true that yellow penetrates no better than white, perhaps the early producers of fog lights misunderstood Rayleigh scattering which occurs at the atomic/molecular scale and incorrectly applied it to the far larger fog vapour droplets.
However our eyes are more sensitive to some colours than others, this is the reason (good) ski goggles are tinted yellow, this filters out colours towards the blues and enhances contrast by filtering light towards the region our eyes are most sensitive and away from the blueish tint of sunlight. The yellow filters (or older tinted globes) do the same, the light appears brighter to other motorists due to it contrasting the fog. White light in white fog appears duller, where as yellow light in white fog appears brighter (despite less light actually being delivered by filtering out the shorter wavelengths). But from the driver's perspective it will look like less light is given out, because that's what is really happening.
It all depends if you want to see more, or want to be seen. 3000K HID foggies would be nice, the best of both worlds, plenty of light output and visibility to other cars (and no ugly yellow tinge when off).