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My Ancient Stegadon moves up from Vanguard (from Cosmic Events), I go first... Do I receive a BS penalty for moving and shooting if I don't move this turn?

If you did not move in the preceding Movement or Magic phase, you don't get the penalty. Vanguarding happens before the first turn, so you're good to go

Had a situation similar to this come up at a tourney last week.

Empire player had pistoliers and outriders and the question was if the outriders counted as moving from vanguard. TO and other players agreed that it counted as moving so the outriders couldn't shoot that turn. I would say that they don't count as moving though because it happened before turn 1 and as long as they don't move that turn it should be fine. The pistoliers didn't suffer a penalty for shooting that turn even though they did the vanguard move.

So in this situation I would say as long as you didn't move during your turn and only did vanguard you wouldn't suffer the penalty for moving and shooting.

They did not, 100% clearly and unambiguously, move during the preceding movement phase, so no penalty for doing so

Bad call to say they have done, very bad call.

Nos got it. Both RAW and RAI, this is true.

RAW: They haven't moved in the previous movement phase (because there's none!).

RAI: The troops do not immediately move at the start of the battle, but rather position themselves ahead of the front line before the battle begins.

I found it even more impressively bad a call because it was inconsistent -outriders couldnt fire, as they had apparently "moved", yes pistoliers didnt gain the BS penalty even though they had also "moved"

At least be consistent in application....

Quick to Fire eliminates the Move and Shoot penalty

That's not even something you need a TO for. Takes 5 seconds to look up.
If you can look it up don't go for the TO. I've played in tourneys where my opponent called the TO while I was checking the rule and the TO agreed with me just as i found the bit that said I was wrong...