This is an important question and the answer(s) are both simple and complex.
Simple because Terragen is pretty clear in what it fundamentally can and can't do, but complex in that some of the finer or more specific details of what you might want to do *within* the realm of what Terragen can do might still be easier or more flexible in another companion program. I'll try to keep this brief and simple for now and can elaborate later as-needed.
Terragen is at its heart a procedural generation system - which is most useful for creating terrain, shading/textures, and clouds - and a renderer purpose-built for rendering large environments (up to planet-sized). But it doesn't create plants and other objects beyond very simple shapes, i.e. it's not a modeler, so anything beyond terrain, sky, and water you pretty much need to bring into it. So it is something of an "end point", an application into which you import all your assets from other programs and sources, setup a scene with terrain, sky, etc., and then render within Terragen.
Unreal, Unity, and most game engines are also *end points*. People working with Unreal want to get Terragen content *into* Unreal. This is either because they're trying to create a real time game (which Terragen doesn't do), or they want to otherwise explore their terrains in real time. The sacrifice is less realistic atmosphere, rendering, lighting, etc., and less powerful displacement capability. If you like what Terragen can do as far as atmosphere, terrain, and rendering, then no need to worry about Unreal or Unity.
In general you basically want to pick your rendering application, which is normally going to be your "end point", the program you import all your other stuff into for creating your final images. Other examples of such tools include 3DS Max and Maya, Clarisse, Vue, Blender, etc., along with the game engines I mentioned above. So pick your "end point" first, if you ask me.
Then there are all the many other applications that can create content which you can use with any "end point" software. Terrain generators (e.g. World Machine), texture generators (e.g. Substance Designer), plant generators (e.g. Speedtree), object modelers and sculpting tools (e.g. ZBrush), etc. Your need for any of these depends directly on what you want to do with your scene. In many cases it's obvious: if you need a tree model, you need to either find an existing one you can download/buy, or you need software like Speedtree that can help you model it. In other cases it's less clear, like when do you want to use a 3rd party terrain generator vs. Terragen's built in functions.
My suggestion in general would be to try to accomplish what you want to do in Terragen first. Do as you were, look for tutorials, etc., but if you find that A: there isn't much info/discussion, or B: the discussion that exists makes it sound more difficult to do in Terragen, then you'd investigate other tools that might work well in that area. And at any point along that path you should feel free to post here asking for advice and input, from initial search for info, i.e. "can Terragen do this, and how?", to asking for recommendations on tools.
So for example Terragen includes good built-in terrain generation systems, but its capabilities for explicitly modeling and sculpting very specific terrain features such as roads are more limited. If you want to create very specific terrain features in specific places, you might be better off with a terrain modeling tool like World Machine, World Creator, or Gaea.
In general I would say that external objects, either pre-made, or using modeling software, are probably the single most common type of asset/software used with Terragen. Terrain generators are probably the second most commonly used. Beyond that most of these other tools (e.g. Zbrush, Substance Designer) are not needed. They *can* be used for specific reasons, but most often they are used because a given artist is already familiar with that tool and knows how to use it to achieve a goal more quickly and easily than they know how to do so in Terragen.
I hope that helps! Feel free to ask for more clarification as-needed.
- Oshyan