Hey bobzilla, I use Cheetah 3D extensively but am currently learning and trying to wrap my head around 3D Coat. Displacement does work but you just need to eyeball it in Cheetah and use very low levels (less that the default .05). I generally use the 3D Coat option for "Zero level is Black, Not normalized."
I have had very unpredictable results using Ptex displacement exports though. Either the displacements don't do anything, or they puff up the entire model. Or in many cases it adds very bad triangular like artifacts. If using displacement from Ptex into Cheetah best option is probably to export the Ptex textures into a single file. If you have multiple Ptex files there is a setting on export to use layer 0 for the displacement, so that would be the file you load into Cheetah's displacement modifer.
And Grimm - hello. I recognize you from the Octane forums. Quick question to you: would exporting as "Zero level is Black, Not normalized" also be the best option for the upcoming Octane 3 (I believe they slightly changed how displacement works).