I think the contrast of the film stock was enough to light that room with the shaft of light and have it only barely fill-in the shadows.
You have to seal a room from any draft before smoking it, so that the haze will hang evenly. Smoke will move to fill a space evenly from corner to corner and it won't stop moving until that's happened, so you have to contain the space. If that shot from "Schindler's List" was a set with an open wall or ceiling, on a soundstage, they would have had to smoke the whole soundstage evenly even if all they were shooting was the small room.
Plus you have to make sure that there isn't an escape route for the smoke or it will drift in that direction. On some locations, you have to hang plastic sheets around the room (off-camera) to seal off the air flow.