Terrain raster files need to be prepared in ArcGIS. they must already be projected in the target Scene Coordinate System (SCS) you are using in CityEngine.
CityEngine can reproject vector data (point, line, polygon features) on import if it's stored in an other projection, but not raster files. That may be your issue.
If this is the case, you should be able to drag-n-drop a GeoTif directly into the viewport from your project folder ( CityEngine Navigator ).
Let me know ..