Not only does he not film them all at once, he doesn't <I>write</I> them all at once. LOTR was written a long time ago, and was simply adapted to the big screen. Despite some rumors, Lucas doesn't have nine completed scripts on his shelf.
Also, Lucas IS a businessman, he wants to go with what sells, and he's hopefully learned something from TPM: 1) FX can't carry a film, 2) while Jar Jar is tolerable, there's a limit to how much of him we can tolerate and 3) FX can't carry a film (although with a good story, FX can move a film a long way).
"It's an M-class planet, so there should be roddenberries."
Leela, Futurama