I think lighting is one of the huge problems with CGI and virtual sets. A light 30 feet away can mimic the sun effectively, but it's got to be done really well. Most of the time when these movies look bad it's to do with the lighting not being realistically "outdoors," but being sound-stagey.

You can see it a fair bit even in the LOTR movies. The slow-mo shot of the fellowship in the first one (yes, I know that every other shot is slow motion), when they're crossing the mountains, shows that kind of studio lighting, and the background looks like a cyclorama. Maybe it was shot on location, but it doesn't look it.