Thanks! That article is a blast. Will definitely play around with this. 
Edit: Wanted to clarify that I referred to the article on the Pixelary Blog referenced by the documentation you posted.
Had an interesting issue with this exercise. I followed the material settings as per the video which resulted in a completely white overlay (see picture below).
I then changed from “Principled Volume” to “Volume Scatter” material type, which fixed the render. Weird. Not sure if it makes any difference, but i’m using Blender 2.91 on MacOS 11.1
Also - does anyone know why the Cycles render is so grainy compared to the Eevee render?
(By the way, i’m completely new at this, never done it before, so my scene is very much as per the videos, not really doing anything special yet, but kudos to those above who are stretching their skills!)
PS: Loving the course as well! Keep up the great work!
Eevee
Cycles
Weird Effect
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Eevee and Cycles are completely different render engines. You need to study the differences between them.
Basically:
Cycles need more (ray) samples, especially in fog situation. But there is now a denoiser option to minimize the noise at low samples.
Eevee is designed for speed, so fog is done in a different way. But you need to fiddle shadows settings.
I also see the lamp size of your lamp post is big in comparison with real dimensions of the lamp post. This introduces the disks in the cycles render.
Welcome back.
And there some differences in the Blender version you use and ones used in the course. Exactly copying values/options will not work always. For some aspects, there is still a lot of development going on in Blender.
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Doing this in Blender 3.0, and the shaders work differently now. In the material tab, there are now separate shaders for Surface and Volume. Using a Principled Volume for the Surface shader just made the cube black. I removed the surface shader, and added a Principled Volume for the Volume shader, and all the parameters work the same as in the video. Just a heads up for other folks! 
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I think only the UI has been changed.
Those shaders were also available in the previous Blender versions.
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