I have exported .ai layers into PSD and now I cannot edit colours of the layers or select the individual layers on the image. I can select the layer in layer panel but it does not highlight the layer object or able to change colour.
Correct, when you import an .ai file into Photoshop it is as one Shape Layer. To make edits to the original .ai you need to do so in Illustrator.
Depending on what you're doing there might be a better workflow such as using InDesign for the final layout and linking the vector files and raster files.