Hold on. [He pauses briefly once he realizes Felix doesn't know about the machine. It seems only a handful of people knew about it. That's interesting.] You don't know about the generator below ground?

[He falls silent for a few minutes before eventually spilling the beans. While Dante doesn't really know how that machine worked, he certainly knows it did judging from the outcome.]

There was a subterranean generator below this very spot where the manhole lies but no one knew what it was. I saw it for myself when Aerith and I went exploring but only for a split second before the kappa found us.

[This all happened before the Night Parade, of course. Neither of them knew that this alleged generator would play such a big roll in this incident.]

That's where the mist came from.