It doesn't work like that... nebulae are very un-dense, and while they can be spectacular from a distance you probably wouldn't notice it if you were inside one.
How about the "insert name here" nebulas that are present during a solar systems formation. I would imagine that would be quite dense.
I've figured out what's wrong with their clouds, and why it felt incorrect to me. If you watch the video, you can see that the clouds pretty heavily obscure things that are close, but then they just stop at a given distance from the ship. The ship moves forward, and there's more dense cloud, but that wasn't previously blocking the view as it should if it were volumetric--it's just a 2d effect on the screen.
The effect can possibly best be seen in the video on their site at around 0:46 - 0:51. At the bottom-center of the frame you can clearly see very distant rocks, as if you're looking through a thin veil of fog. However, as the ship moves forward over the next five seconds, the close-range visual effect is as if you're moving through dense fog, while you can still clearly see the distant rocks. If the fog were volumetric and continued ahead of you before you got there, you wouldn't be able to see the rocks at the start because of the thickness of the fog ahead of you.
I could believe that there might be a cloud in close proximity to the destroyed asteroid that's being mined, but if that were the case the visibility of distant rocks/planets/stars would improve as you got further away from the asteroid.
Does that make sense?
---------- Post added at 16:00 ---------- Previous post was at 15:57 ----------
Also, look at the video around 2:05--you can clearly see Earth (or some other Earth-y planet) in the middle of the screen at a great distance, and yet a large structure appears out of the fog as you approach. If you could see the Earth, why couldn't you see the structure? If the fog was so dense as to completely obscure a structure a few hundred meters in front of you, why could you still see the Earth?
