If you go to a movie set in real life you will see that they always use artificial lighting even in the daylight, expect for those rare cases where the director wants a straight real life effect (but that never happens in Hollywood movies)

Lighting sets is an art in itself and a very difficult one. It requires years of study and years of practice. Things with CG art is made easier by the tools (you can have lights that don't cast shadows, lights that only affect one object, et c.). But anyway it remains a very difficult thing.