Yes, AMPaint doesn't show you the shading of a bump map you may be painting, it shows you the grayscale. You'd need to take the model back to A:M to see the bump effect.
On the plus side, AMPaint doesn't require a tiled map. I like to pre-wrap my model with a blank decal and paint on that in AMPaint and the result is something you can take to a regular paint program for touchup or filters or whatever. A tiled map won't work for that.
example here: http://www.hash.com/forums/index.php?s=&am...st&p=318153