Deathwing DOES get shields from Snow Flurries.
Deathwing does NOT get stealth from Foggy Mists.
Deathwing does NOT get move speed or lightning shield from Rain Storms.
Probably the first one is a bug.
But, the trait says he ignores the friendly effects from allies, so maybe the second two are bugged.
But he also ignores non-heroic friendly effects, such as the Alterac Rider’s buff and the Knight Camp spell armor buff, so it seems most likely the first one working is bugged.