It probably depends on the type of effect. Most of the ones shown in the video could just be normal filmed material overlaid into the appropriate places. IE, someone went and filmed a real street, then brought the footage back to build the set and place the green markers in appropriate places. Touching up/editing real video keeps a realistic feeling to it. The advantage here is they can film the street in ideal lighting/weather conditions, and still be able to film as many takes as necessary indoors, without worrying about continuity issues from sunlight position and such.

Most movies are going beyond this and creating their own scenes purely in a computer, so at that point it comes down to the quality of the artists and effects studios used. Making 3D things is easy. Making 3D things that look real and natural is much harder.

It probably comes down to scheduling. TV Shows are going to be under tighter time constraints to get things out, so they don't have time to wait for entire scenes to be created from scratch. Movies have plenty of time, and in some cases the actors filmed their performances years before a movies release.