One thing that helps a lot is if the actors have a physical point of reference when talking to a character that is fully CGI. A good example of this was the movie "John Carter," where the title character was working with a Green Man of Mars called Tars Tarkas, played by Willem Dafoe. I saw in the behind-the-scenes that Willem would walk around on stilts and do body-acting [and his lines] when doing scenes where he interacted directly with Taylor Kitsch (the star). This made it much easier for Taylor (and other actors playing the more "human-looking" characters) to interact with "Tars Tarkas."
Another good example are mock-ups, where they make just pieces of some machine, or alien, or dinosaur, or supernatural creature the actors have to interact with physically, and they can then add in more details in post-production with CGI and marry the two images together. (However, the concept of mock-up puppets has been around since as early as the 70s, but honestly, I really wish they'd bring it back sometimes). These days, half the mock-ups are plastic/rubber pieces that are painted blue/green with pips on them, or the others are realistic-looking pieces of the object, but only partially made. It's actually easier on the actors than just a ball on a stick.
The CGI you speak of includes backgrounds, which are "easier" than something the actors must interact with. Animators have gotten really good with those. A fine example is "The Shape of Water," (I watched a BTS youtube video on it) where they recreated a realistic view of 1960s Baltimore in the background, and it looks so real the audience is completely fooled.
The one form of special-effects I do not miss is stop-motion animation when used in live-action films. That looked fake to me, even as a kid. Horrendous examples included "Clash of the Titans."
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