Your welcome Revanto 
I should note that it is not necessary to have the BumpViewerMaterial selected when using the Col>Tex function. You might however want to convert the resulting RGB texture into an Alpha before exporting.
You are correct in that you should select the highest subdivision level before pressing Col>Tex to capture exactly what you painted (if you painted at the highest subdivision level). But in some cases I guess it could be useful to also perform a Col>Tex at a lower subdivision level, in addtion to the highest, in order to perhaps do some layer blend mode alterations in Photoshop. Probably more useful for Color textures rather than bump maps. Just a thought.
Using the BumpViewerMaterial with polypainting can result in a blocky or stepped bump map display. To get around that you can turn off Transform > Quick 3D Edit which instructs ZBrush to use the settings in Tool > Display Properties. Increase Tool > Display Properties > DSmooth to 1 and probably leave DRes at 3. This should give a good approximation of the resulting bump map when pressing Col>Tex with Tool > Texture > Grd (Gradient Colors) enabled.
Note, the above only has an affect on textures that are modulated by a material such as the BumpViewerMaterial. For painting standard color textures with standard materials there is no benefit to turning Quick 3D Edit off, in fact it just increases the CPU usage.