I have the same thing. I think it's a 'feature' of the FS2002 weather engine as FS2000 didn't do it, and I don't think FS2004 does. Unless someone out there knows a fix, we may have to live with this one.
I have it, and have the same, because that clouds you see there, are just drawn in a Texture at 40,000 feet. So it will never touch the horizon, if you won