I would imagine the rules are the same as here in the UK, driving with fog lamps on when it isnt foggy is illegal, as the lights dazzle drivers behind, and like you say, it is very irritating...thats one good thing about Merc healight switches, the fog lamps auto cancel when the lights are switched off.
However, i presume that fog lights arent fitted to US spec cars as standard because it never gets foggy there?
Here in the UK, especially in winter, fog is a serious problem, hence the standard fitment of these lights.
If you ever come to the Uk and happen to see any US cars driving about (these are usually white or black stretch Lincolns, used as hired limo's) they have a terrible after market fog light fixed to the rear bumper...just so they pass the British MOT Test. However they do look pretty naff and totally out of place!!