Hi Steffen,
Yes there is a bug with showing filenames in the file dialog if they contain %04d, so you will need to take extra care to make sure the filenames are correct.
Image sequences can be saved as .bmp, .exr, .tif (or .tiff), .rgb (or .sgi). Simply give the filename one of those extensions and Terragen will guess which format you want to use. (This is different from saving individual images from the Render View, where the file type dropdown can make changes to your extension.)
Matt