So in the docs for HE it states that:

The height layer will be used for the terrain's heightmap values. The range of the heightmap values form the height range for the terrain. The unity_hf_terraindata_file attribute can be specified on this layer (and only on this layer) to reference an existing TerrainData asset file to use (see Houdini Heightfields to Unity Terrain). There will NOT be a corresponding TerrainLayer created for this layer.

Yet inside Unity it does create a .terrainlayer for it. See attached image.

The issue here is that the created height.terrainlayer is set by default and we get the pink error shader as such. We have to keep deleting the first height.terrainlayer that gets created.

If we split up the terrain it becomes more problematic as we have to delete the height.terrainlayer from all the tiles.

Are we doing something wrong, or is this a bug?

Using Unity 2019.1.8f1 with HDRP pipeline

Thank you

Could you try with the latest Houdini version, if you haven't? This sounds like an older version. Try with 17.5.308 or newer.