OK, I found it and it's quite lame. I don't know if it's the same for non-Xenon/LED tail light models but on mine when you push the fog light button a little red light on the driver side tail light comes on. It's just to the right of the back-up light. It is not on the passenger side tail light. I don't know what purpose that serves or how it is called a fog light. At the front pushing the fog light button just turns on the headlights. I can't tell the difference between turning them on this way or just simply switching the headlight on using the light switch.
Black CLA250 - Premium, Multimedia, Sport, Panorama roof, Bi-Xenon, Window Tinting (50%/35% Front/Rear), Carlsson C-Tronic.
Bridgestone Blizzak LM-60 RFT (Run Flats) mounted on 18x8 Anzio Turn Bright Silver wheels with TPMS sensors for winter driving.