So I downloaded some data from various websites. On the whole this did not really work very well. I could not even use Microdem to open most of the files I got. Until I came across the MNT 5m au format ESRI ASCII GRID data located here:
https://data.public.lu/en/datasets/bd-l-mnt5/
Among other things, it contains a file called w001001.adf which I am able to load into Transdem just fine. I can see the whole of Luxembourg with what looks to be the correct height map. However, when I export this as a whole or as a smaller portion, the result is completely flat in Trainz. (edit: I am using T:ANE).
Is this to be expected or am I doing something wrong? Please note I am not an expert on this at all, but I have managed to export maps succesfully into Trainz using Transdem from multiple sources so I am not a complete newbie
Edit: marked as solved and added Luxembourg to the title because of the great additional information added by geophile. It may help others looking for the same thing.