When you import your terrain, in the dialogue, choose your material. If its the one you showed in the screenshot, you have paintable layers set up already.
Each layer can be pointed to a file that was exported from WM. The splatmap. For you to make changes by hand, by painting, the layer must have a layerinfo which you can create from the landscape creation panel.
I think you might be overlooking something. But the way it works is like this.
You set up your world in WM. You have a heightout which exports the actual height data to .r16. Then you can use select height or select angle or anything you want, and use another Height Output and export it to 8bit RAW.
Then you can go ahead and paint onto the existing imported splatmaps.
Hope this helps!
Is there a way to export an image that shows every terrain layer? For example (from above), it would have the new terrain layers painted on top of the imported splatmap.