Steps to reproduce:
1. Open the project from the attached file "1245286.zip"(link in edit)
2. In Hierarchy select "Global Volume" GameObject
3. In the Inspector enable the additional options for Volumetric Fog
4. Enter Play Mode
5. Inspect the Game View

Expected result: when moving between local volumes the transition happens smoothly over time.
Actual result: when moving between local volumes the transition is instant

Reproducible with: 7.1.6 (2020.1.0a19), 7.3.1 (2019.3.14f1), 8.0.1 (2020.1.0b9, 2020.2.0a12)
Not reproducible with: 7.1.5 (2020.1.0a19), 8.1.0 (2020.1.0b9, 2020.2.0a12), 9.0.0-preview.13 (2020.1.0b9, 2020.2.0a12)
Could not test with: 4.10.0-preview (2018.4.23f1) (required features not introduced)

Notes:
Reproducible with DX11, DX12 and Metal graphics API. OpenGL not supported in HDRP.