I guess fog is more of a physical effect rather than magical, but the game is to inconsistent in this area for me to say that with a straight face! lol.

There is a relic which you can use to cast a spell on one of your units to make it immune to all magic attacks as well, pffftttt HAHAHAHA, NOPE!

From what I gather, you seem to misunderstand how "Can't be target of Spells and Abilities" works. It's not "immune to magic", it's "Can't be *targetted*".

To elaborate: a creature with that ability cannot be affected by something only if it specifically names a target. That means that a creature with that ability will not be a valid target for a Zap or Twisted Enhancement, but will still be affected by Dominance or Frenzy Gas. This is actually very much in line with how the ability (dubbed Shroud) is treated in Magic: the Gathering, which Etherlords takes a lot after.

In this vein, Mechosaurs will shrug off most spells in the game, but as Fog affects all creatures, they're stopped dead by it just as any other. And will still bite back, as they're wont to do.

The only way this ability is inconsistent within Etherlords is that some spells (most notably Suffocating Gas) are considered "multi-target" as opposed to "all", most likely due to how "exemption" specs like Suffocation Resistance work.

This makes Saurs+SG+Frenzy a very potent combo, by the way - Frenzy+Gas kills everything with Toughness 4 or lower, barring prohibitively expensive stuff that Exile handily takes care of. Drop a saur or two and go to town. Best part? It even ignores the dreaded Kinet Hostile Flood combo, as Flood is considered multi-target too due to Flood Resistance.