While it might not be 100 percent realistic, you can get pretty close. Obviously, you have to have the cameras match between 3D and AE, or the effect will look fake. Plus getting shadows right is a challenge as well. For example, the sample shot you showed has window light, ambient reflected light, and light from the chandeliers (although not much). This would be a real challenge, unless you're shooting the greenscreen people yourself, in which case you could have hard light from the windows lighting them from the right, and ambient reflected light from the left and top. Doing it with predone green screen characters would most likely look fake, but, as I said, would be a challenge, either way you do it.
An alternative would be to use 3D characters and keep it all within Max. That way, your lighting would be identical.
One thing I didn't explain was how to put green screen people with an alpha channel in Max. You may know this already, but you just create a plane roughly the height and width of the character, then apply the video as a texture to the plane. I haven't done this is a while, so I can't remember which format was best to use that had an alpha channel, but you could always use a sequence of tif or tga files (or maybe png files) if you can't get a Quicktime Animation with Millions of Colors Plus to work.
I think you'll get much a better result using Max2Ae to insert placements which you can then adjust in After Effects - that way you reposition/colour correct and slide them around your 3d render to cover any artifacts.
I believe After Effects workflow is already in 2014 but haven't tried it.
Creative : 3D : Motion graphics