There's no general rule that says CHARACTERS don't take Morale tests - it's just normally impossible for them to do so because they're only one model! But units of CHARACTERS do exist (Celestine and her pals) and, barring a specific exemption, they follow all the normal rules.
So yes, as far as I can tell, the Lone Wolf has to test for Morale if he hulks up in the same turn that his unit was decimated. Thankfully, you don't actually have to use the stratagem at the end of the same phase that happens: you can use it at the end of any phase, as long as there's a lone survivor still hanging around. So your opponent should have waited until the end of the Morale phase before triggering it, once any running away was sorted out.
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