There's a reason for that -
The point of fog lights being yellow is that it cuts through the fog better while normal "temperature" lights tend to just reflect back off of the fog. So having both on at the same time is actually not optimal because you're cutting down on the efficiency of the actual fog light by reflecting off of the fog with the high beams. This goes for low-beams as well.

Car manufacturers are not as dumb as you think

Peter