First of all, you don't need that 'wait' after the 'pXent_settype'.
You may try to use 'wait' right before registering the terrain in physX (just for testing purpose).
Try this one:
pXent_settype(my, PH_STATIC, PH_TERRAIN);
In addition, take a look at 'knights_on_wheels' which can be found at 'GStudio8/samples'.
It's a good example of how to setup level and vehicle physX.
My best regards!
Edit: I've found out what's causing the problem, you need to set terrain position to 0,0,0 (in WED). That's another limitation after not scaling the terrain. I just tested it with your demo, and it works. Good luck!
Edit2: and don't forget to increase Z position of your vehicle, cause otherways it will fly up to the sky
