To answer the question, .x files can store vertex colours but most applications dont export them without a bit of extra work. Blender will but you have to manually put them in
.Obj files can also store them but AppGameKit wont load them - or at least it didnt when I tried.
Ive a custom exporter for MS3D that will do it too.
Also 3DS max files can store vertex colour
You didnt really want any of those though. Like you said, manually adding vertex colours int the membock is possible. Considering what your doing theres no need for vertex colours at all. A shader IS a much better way of doing it.
You do know there is a pair of shaders in the terrain project that ships with AppGameKit for doing this? It colours the heightmap based on the height of the vertex.
That came with AGK^^^
It only works with a detail texture instead of blending two/three textures but that is possible too with minor modding to the shader.
Personally i found even blending 3 textures a bit bleak plus it doesnt work with per pixel normals (normal map)....so moved onto a shader which could work with diffuse and normal maps on the terrain which looks way better and allows blending between 255 textures in an atlas but only uses 3 texture slots... It allows for adding roads, tarmac...etc... but with per pixel normals. Having seen the PBR rendering capabilities on here recently, im sure we might see some much better solutions too!!
I also think Janbo was working on a Terrain shader for his pack too which will be better then mine!