@wallyk's answer is excellent, and I would add just one thing: the greenscreen work you see done by local news and live TV is done in real time, unlike a movie where computers can render for hours, days, weeks etc. There's only so much polishing that even a powerful computer can do at 30 frames per second, while also pumping the rendered video stream back out to be broadcast. When the source video is recorded footage rather than a live stream, and the computer or network of computers can take more than one-thirtieth of a second to render each frame, the quality of the output is considerably higher. Entirely different software is used for not-live greenscreen work, and it produces much better results (though not as quickly).
Building off this point, starting with already-shot footage means that compositors can do preliminary work on it even before the green gets keyed out—color-correcting the image so that the green pops more, for example.
For an example of the very best live greenscreen replacement that money can buy, look at NFL games and the computer-generated line of scrimmage/first-down line that sometimes goes underneath players; or some MLB games have ads behind the batters that are added digitally, keying out a greenscreen "ad" in a stadium.