Rear fog lights are a European thing and you won't find them installed on North American cars.

The Lamp Out system, while quite useful, can often be quirky and a PITA. Sometimes different brands of bulbs will trigger it if there is enough difference in the current draw. More often, a bulb will appear to be out if the socket is not making good contact in the mounting board. Make sure the contact surfaces are bright and clean and the spring contacts have enough tension. I've also found that I've had to back off a lamp holder from full clockwise for it to make good contact.