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I'm fairly new to 40k, this situation came up in my last game and I'd like it clarified.

My Warlord was attached to a unit of Immortals that were in melee with an Archon and a unit of Kabalite warriors (not joined). His Sybarite challenged my warlord and I accepted, no wounds were dealt either way. The rest of the kabalites plus his archon then attacked my immortals who lost the combat by 2 wounds, failed their morale roll and were sweeping advanced to death.

My question is whether my Warlord is destroyed by the sweeping advance or not. I think he probably is as he was attached to the Immortals unit, but it just feels wrong to me that he is killed because of the result of a fight he didn't take part in (because of the challenge).

Any thoughts?

For all rule purposes he is part of the unit in question. If the unit is removed as a casualty due to a special rule, then he is also removed as a casualty. The only way to prevent it would be an exception within the rules, in this case something allowing you to nullify the results of the sweeping advance or to treat the challenged model as a separate unit. As there is nothing in the sweeping advance rules which allow you to treat the joined independent character as separate from the unit falling back we can not find permission there. In the challenge section of the book there is nothing which allows you to nullify the results of falling back or the sweeping advance either.

In fact the opposite is within the challenge section.

The section called Round Two also brings up the fact the unit might break and run, ending the challenge. If the character was meant to be treated as separate, and somehow immune from sweeping advance, then this part would not exist. Like wise, the paragraph above this section would not be telling you to add the wound results from the challenge to the assault results if the challenge was meant to be separate from the sweeping advance. The inclusion of these two sections show that the challenge is still treated as as part of the assault for all purposes, including the ability to make the challenger break with the rest of the unit and swept with them because of it.