A lot depends on what you want your final layout to look like. In most cases layout scenery involves more than just painting the plywood. A plus to painting the plywood is that your layout will look better than bare plywood, for minimal effort. There was an old article in MR about 1969 about expanding the size of one's layout without building a bigger layout--among the most important hints were painting the plywood, to reduce the visual impact of the wood itself, and painting the webs of the track (going back and wiping the paint off the tops of the rails, of course) to visually shrink them as well. One may not want to do the painting of both with the same color. This can be an intermediate stage before adding other scenery elements like plaster or foam on top of the plywood--or, especially if this is intended as a "play layout" for kids or if you're not a scenery type of guy, a final treatment.
