Since i have exactly ZERO expirience with compositing, this will just be my personell opinion, of what i think, hurts the immersion.
For the background scene:
- the sun ^.^ or is it the moon in a more evening scene? it´s really hard to tell, because i wouldn´t use a circle for the sun anymore, since UE introduced the convolution bloom (post process volume - bloom - switch from standard to convolution).
- the clouds in the background, nothing particularly wrong (of course, there is always a better way to create clouds, may it be volumetrics, ot better textures, but since this is your first try, and since i am not good at clouds either ^.^ whelp, good enough), but the movement of them is really fast - as in, orcane or tornado level fast.
try to slow them down, since your main car sits there and there is zero indication of any wind movement in her nearby area (no wind influenced hair movement, or clothes, smoke and flames from the fire are typical for wind free zone). Remember, clouds are absolutely massive and far away, therefore appear to move way slower than they really do.
So if i would have to scale your shown cloud movement to what i have seen in some storms here, then she should be in a tornado shelter 
Dust clouds around the canyon area, that are created by the wind are a different story, they can move fast, since they are really close to the scene and camera.
- the fire: personally, the chosen fire particles do not fit a smaller camp fire. There are some free fire particle effects in the marketplace, maybe you find some better fitting there, that you can use
And one example of a tutorial, in case you want to try to create your own fire with Niagara:
Also the rocks around the campfire, their lighting don´t fit to the flames very well. It seems like, the light sits right in the center of the stone ring, illuminating only the part of the rocks, that face inward. But the flames are way higher and probably would illuminate the stones from above too. Also it sticks out, that the fire seem to have zero affect on the surrounding. Maybe try to place a cgi light in your cgi canyon to get some virtual fire light there too.
- The UFO: i like it ^.^ only real problem is the beam of light, while having the intensity of a german WWII anti-aircraft searchlight /Flakscheinwerfer
all the light have no impact beyond the area, where it hits the ground. I guess, Lumen would help you with that, if you want switch to UE5, or just place some lights in your impact area, that help you create the illusion of some global illumination. A beam of light that bright will bounce off into it´s surrounding area, even if its just a little bit (however, it´s a pretty focussed light beam, but also in a pretty big area, so not sure, how exactly it would behave).
- the compositing itself: hwat most sticks out, is that the hair is cut out with a really sharp edge, that separates it from the background. Ok, cutting hair out is always a nightmare, but maybe you can find a tutorial about how to create better masks, especially for the hair. I guess, the hair could also be a little bit translucent at some points, where its thinner, so that the backgorund can shine through.
While this here is aphotoshop tutorial, and also just for single images, maybe it helps you a little bit for what you can look:
Here is one, that uses After Effects to create the compositing masks, to put someone into Unreal. His hair looks pretty good, while also being pretty busy:
Not sure, how accurate the rest of the tut is for exporting, since the Movie render Queue came out, and he still uses Sequencer in that tutorial… But the compositing part looks really promising.
And, keep an eye out, that your mask is not to short, like in that part of your video ^.^
The head 
somethings missing ^.^
I guess, the hardest part would be to sync the real lighting to your cgi scene, but i would say, a bright light in the real world, thats pointed at her from the rear could help to match her lighting better to the light, when the UFO lightbeam is activated, and enlightens the whole area.
