I have been working in Blender render and when I have added the light and mist I then went over to Cycle render but it did not render the light nor the mist.
Unfortunately, transfering things such as materials, lights, and mist effects between blender and cycles is quite difficult if not impossible. I would recommend deciding what renderer your going to use BEFORE setting up materials/lighting etcetera. Be aware that using Cycles Render and Blender Internal are totally different processes and calculate the final image in completely different ways. Generally, if you're looking to make toon or other non-realistic renders, use Blender Internal. If your goal is to make realistic looking renders, use Cycles. Hope this helps!