Not all the aliens were CG, the Neimoidians weren't and a lot of the aliens first appeared in the previous movies weren't like the Tusken Raiders. Look if there was a way to shoot inside a volcano safely I'm sure they would have done it but y'know greenscreen is necessary.
If you look at behind the scenes footage of The Avengers there was an incredible amount of greenscreen, especially in the last act. People didn't notice most of it because it was of New York City, a place that they know is real and can be photographed live, as opposed to some alien landscape that can only be created digitally. You only notice a part that's fake when they do a one that would be impossible like the long tracking shot which follows all the Avengers fighting together.
People complained that JEDI was "nothing but muppets". You had sci-fi purists like Harlan Ellison complaining about aliens with rubber masks in the original movie. If you don't like the story you're less willing to suspend disbelief no matter how they do the effects.