Hi Manuel,
From your description, it sounds like you're doing it correctly.
I assume you're importing the FBX file via the Main Menu > File > Import FBX Scene option, and the checkbox for "Import Markers & Nulls" is checked on the FBX Import: Scene window that pops-up. The baked null objects should show up in the Objects Node List and as nodes in the Node Network pane.
Have you tried to import the FBX file back into Cinema 4D to make sure that the nulls are actually in the FBX file?
Also, and I don't suspect this is the case, but your null object should not be a one point poly object, or Terragen will not see it as a null object, but rather geometry and ignore it during the FBX import process.
Lastly, can you send us the FBX so we can take a look at it too?