I highly doubt there was any CGI. The game features a somewhat aggressive LOD. From the direct feed images released from the large scale intro shows exactly that. The low polygon buildings are easily noticed in still images.That is my guess. Its either that or they switch out to high-res polygons during the motion blur effect that no one seems to see.
A classic tunnel shooter trick. No windows, lots of smoke and mirrors. With all that ram it is highly possible that the majority of that background is a none interactive stream of polygons and animated textures with only the foreground building are interacting with the light.
Just another pretty set piece for you to look at. Development time is going to skyrocket because your are going to need tons of designers and artists in farms chrning out graphics that is mostly a 3d skybox.
I hope you get to fly a heli-plane through that city but I doubt it. As far as the gameplay demonstrated I have seen similar gameplay in goldeneye on the the n64. come on guys it 2013!
http://images.gamersyde.com/image_killzone_shadow_fall-21476-2660_0001.jpg
http://www.abload.de/img/killzoneshadowfallanno4qcw.jpg
http://img2.generation-nt.com/killzone-shadow-fall-7_090780043801365162.jpg
In addition you can see LOD transitions in the very same moment that the character becomes controllable and walks. A LOD transition which is also visible exactly when he jumps on the rope
Although curiously the last scene is the only area there are no high res images available for
Anyways here is another image from Killzone showing a Helghast looking at the opposite
side of the wall
http://allthingsd.com/files/2013/02/IMG_00981.jpg