This comes back to the question of how much 'magic' we want to portray in the story. Do we want to present the Valar as characters who are mostly just people that are impossible to kill, or are we emphasizing their powers/control over the elements/supernatural stuff? It would be a mistake to subtract out all supernatural abilities, but the question of how far to go with that (glowy artefacts?) is more of an aesthetic question and a limit based on at what point we think the audience will stop taking the characters/story seriously.
Obviously, I think it would be foolish to pretend the Valar *aren't* magical, so CGI effects should help with that. But I'm also looking down the road to Gandalf, who is, to all intents and purposes, just looks like an old man (who can put on some fancy fire displays when he wants to). The audience may expect things to get flashier as we go, so if we use all the special effects in the first season, and then scale back for each season after...it might seem weird.
I think there is a difference in the possibilities of taking form after the fall of Númenor. The Valar pulling their lands away and making them less accessible probably changed the conditions under which Ainur worked and used 'magical' powers in Middle-earth. It should be easier for them to act in ways we interpret as magic in the First Age. My guess is that this change that I'm speculating on meant that the Istari can't just 'don a skin' or take human form as they used to be able to. The Valar should talk about that before the Istari are sent on their mission, and say that they will be connected to these bodies in ways they are not used to - that they can die.Remember, the Istari are specifically pretty different from just regular old Maiar wearing skin. Gandalf legitimately dies and is sent back to his lifeless body. When the Istari show up in Middle Earth, I think we ought to take some pains to demonstrate (hopefully in some way other than exposition) that the wizards aren't anything we've ever seen before.