You are looking beyond the edge of the heightfield. If you did this in Terragen Classic you would see no terrain outside the heightfield, but in Terragen 2 it blends into the rest of the planet. The solution is to keep the camera inside the area of the heightfield, just as you would in Terragen Classic. The default camera position in Terragen 2 shows you most of the heightfield from more of a bird's eye view, so you will need to move the camera. Terragen 2's default heightfield is 10000 metres wide, which is larger than the default in Terragen Classic (7680 metres).