I've never used the tool, but http://www.gamesas.com/topic/1385699-warpaint-trouble-in-actor-menu/page__view__findpost__p__21204202. Create your NPC in-game using the character generation screen, use SPF YourCharactersName in the console to export the .npc file, set up your NPC in the CK and import the .npc file, Ctrl + F4 to export the face data. Works fine for me. I don't think having to export is a bug, it's just part of the workflow. If you don't like the vanilla lighting in the character gen screen, you can set up a cell in the CK with any lighting you like. Plenty of people take that extra step.
I think people run into problems with the CK for the following reasons: forgetting to hit Ctrl + F4; forgetting to increase the interpolation value on war paint (it doesn't show up in the preview window if it's 0); scars don't show up in the preview window for Head, but do for Full; if you try to Ctrl + F4 with Is CharGen Face Preset ticked, it won't work.
As long as you do things correctly, it should work, though, of course, it's always possible that some people have system-related problems.