The biggest problem you'll face with virtual sets is matching the perspective. An equally large elephant in the room would be matching any camera movement. Even a simpla pan can totally destroy the illustion.
Start off simple with a locked off camera and something in the shot that you can use to match perspective. Don't zoom. Don't pan. If you need more than one angle then cut between positions.
Planing is the key. I'll say that again. Planning is the key. An example of your created set would help us give you some advice on how to create the illustion. It would also be helpful to know if you know anything about keying, light wraps, and color correction. All of these skills are required if you are going to make a virtual set work well.
We know a bit about keying and color correction from the Adobe TV tutorials we've been watching in regards to it. The set is basic and looks much like the one in the video in ways. A wall here, a monitor there. That sort of thing. Can I ask you for any advice in regards to framing the set images together though?
I'm just trying to replicate what the creator of that set did in his video. Can you help me do that?
The illustration you posted (I have not seen the tutorial) appears to have been created in an illustration program or perhaps a 3D modeler. The most basic sets are simple layers, images from Photoshop, and additional nested or precomposed AE projects. For instance, you import an image of a studio wall and you create an AE project that places video inside a masked object representing the frame of the monitor. Then you add your crhomkeyed layer to the front.
Suggest you keep this very simple until you get the hang of it. Keying and color correction are far more complicated than building virtual sets.