A few questions: first off, is it a .png file, greyscale and 12-bit? Because most problems I've read (because I've used a height map for my CAW world) have something to do with the height map not being any of the above.
If the above is not the problem, does it show up when you independently search for it (outside of CAW)? If it
does show up only there, have you tried naming it something different? Because maybe you might have mixed it up with another map name.
Anyways, all I can suggest is try moving it to your Pictures folder before moving it back, and if that doesn't work, then just leaving the map in the Pictures folder instead. When I used my height map, I just left in my Pictures folder and it worked fine, no problem.
Hope this helps!
-Phoenix