It sure sounds like steam in the hopper. The next time you see the 'fog' turn up that reostat and see if it gets pulled into the bottom of the hopper.
If you are running the draft blower very low a lot of the time, it would be safer if you hooked up some type of draft meter to make sure you keep a negative draft on the stove.
Is your coal in the hopper dry or damp when it is put in the hopper??