I'm on the latest OSX, and I have GDAL installed from the recommended: http://www.kyngchaos.com/software:frameworks (version 1.11 of GDAL apparently. I understand 2.x versions have a problem with imports too).
In the python shell I run from osgeo import gdal and it works fine, importing without an issue.
When I run worldengine with options, I get the full output, but near the top of that output is "Unable to load GDAL support, no heightmap export possible" - I want that heightmap!!
Am I doing something wrong?