I would also assume it's 1000x easier and more fun for the actors to work with puppets on location or actual sets instead of being surrounded by green with the director saying "we're going to add a goofy looking alien salesman here!". Just because CG can be completely convincing these days (at times) it really should only be used when it's necessary or definitely superior to practical.For me it's less about "how it looks" and more about "how it feels."
Interactions with non-CG elements will always be more convincing to me and will make me feel more like they're "actually happening."
That's just the way it is. I don't just want to watch movies. I want to experience them and be drawn in by them. Physical, practical things help with that greatly.