I do think CGI is often overutilized, much to the detriment of many shows and films, especially in genres where practical effects get the job done (i.e. - not sci-fi). However, these techniques are evolving, and the actors can at least start to see visual cues and interact with the same digital elements that the viewer will ultimately be shown.
Because the environment projects its own lights, reflections are automatically correct and don't need to be added in post. It also gives huge freedom to the DP for shots because they don't really have to light anything specifically.
And the best thing is that it's comparatively cheap so they can punch way over their budget effects-wise.
On the other hand you can do non-CGI effects in post as well. In fact its super common. Bluescreens, compositing, rotoscoping, etc were all common techniques well before computers had anything to do with film making and can all introduce the problems you describe. It was actually a common problem. People would spend a lot of time tryng to get lighting to match and to line up composited elements.
So its not a CGI problem at all. Its an in-camera versus post effects problem.
It is noticable that it’s not filmed in a hot place because the actors are never sweating, they move too fast, their skin doesn’t have the color and texture of a strong tan, they don’t seem affected by transitioning from hot to cold, they touch sand with naked hands, etc. Compare with western movies that are actually filmed on location, they somehow feel like they’re filmed on a hotter planet than arakis
EDIT: seems that most of the scenes in the desert filmed in situ were also in relatively cold deserts as the filming crew is wearing down jackets
You could certainly for example, film ‘once upon a time in the west’ in a green room and overlay the actors upon a western themed cgi environment, and have it look believably realistic.
But are the actors going to act as if they were under the burning sun as believably ? Will they avoid looking at the sun ? Will they tend to seek the shadows ? Will they sweat ? Probably not, and the feeling you’ll get from the film will be different, without you being able to know why