The problem is that you are not taking into account the actual image width (856 px) and that causes the jump.
For some reason I can't upload right now the fixed capx, but the event should look like that:
if Fog X <= (less or equal) to -856 ---> Fog set X to 0.
Also, the black Sky tilled object is a bit overkill in size! If you want a single BG color you could just set the bottom layer to be opaque and set its color to black. You can also use a sprite much less in size and stretch it to fill your sky, even a 64x64 with a gradient will suffice if you have pixel rounding set to Off in project settings.
Ok, antivirus was messing around, here is your capx: http://www.eli0s.com/Tests/ScrollingFog.capx