Another option to using a 2 sided mat would be to add a shell modifier to your cylinder to actually give it a thickness.
Also mabey make the fog colour something other than white and turn it's multiplier down way low like .1 - .01.
Your on the right track with the refractive glossiness. For this effect I'd usually put it at about .5....
One more thing, if your using a VrayLight Mat for the light inside the pillar try adding a gradient to change the colour slightly to make it look a little less light a constant light throughout.
Hope this helps...
Any new renders?