Obvious answer: at whatever points value the 25% rule allows it.
Mainly, though, it depends on the Lord of War in question. A
LoW that doesn't need support (say, a Knight, Typhon, or Cerberus) would be fine at 2000pts. A Primarch, however, is not much of a good idea at 2000pts, because you have to dedicate so much of your remaining points to him in the form of a bodyguard and transport system. 2500pts is when just about anything can work without sucking too many points away from the rest of your army.