This is a known limitation, and it's not exactly a bug.
Because the world background is an infinite distance away and a world volume shader is assumed to be infinitely large, there is a bit of a problem. No matter how low the density of the volume is, it will completely absorb all light going an infinite distance through it.
You can use a finite object volume instead of an infinite world volume.
To do this, create a largish cube object or any shape which encloses your entire scene (or at least the part which should have fog/mist/whatever in it).
By adding a volume shader to this object, you can create a finite volume around your scene which you have much more control over. See my answer here for more detail.