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Doesn't say anything about it in the rules.

Hence they don't need to.

Why would they?

I could ask, "Do we need to say hello to each model before a battle?". But it doesn't say so in the BRB... does it?

Ofcourse not, it's completely valid to deploy him at the very end, and if they were actually "to deploy first" it would mean you have to deploy him, why the glorp would a warlord then be able to get a trait that allows it to outflank together with it's own unit?

No he must not be deployed first

I've never encountered a rule that says Warlords have to deploy first, Bolesnik. Is there a specific event or rule that leads you to believe this is the case? I, too, have had odd questions with a legitimate basis.

Doesnt really matter in 40k as you deploy your entire army at once, and if you put your warlord in reserve or infiltrate he/she is considered "deployed" just under a another rule.

It would be more important if it was in the case of Warhammer Fantasy where you deploy units alternatively.

Thanks for the answers! Wanted to ask because I have an HQ that I want to deepstrike in with a bunch of raptors later in the game.

So long as he is legally allowed to join them (they don't have Infiltrate, f'rex) then there is no reason you can't do that! Have fun, and rock on.