I do believe you need to add the texture you applied on it to the Content directory where you model is so it can read it
That's not necessary (the importer will follow an absolute path to find the texture), but the problem is that paint effects in Maya need to be baked to texture and added as a plain vanilla diffuse map before the Maya FBX export to XNA will recognize it.
The Maya .X exporter can also be used, but it doesn't support DirectX shaders, so it, too, is limited to a single diffuse color map.