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So:

Servants of the Abyss Special rule wrote: This ability has no effect unless your army includes OBSIDIUS MALLEX. If it does, you cannot set up any units with this ability before you have set up OBSIDIUS MALLEX. When you set up OBSIDIUS MALLEX during deployment, all units with this ability are immediately set up at the same time. When you set up OBSIDIUS MALLEX on the battlefield for the first time, all units with this ability must be set up within 6" of him (or they must all be set up in the same TRANSPORT as him). If they cannot be set up, they count as destroyed.

What happens if you pay to hold Obsidius Mallex in Strategic Reserves, but do not pay for the other Servants of the Abyss units?

Additionally, what if you embark Obsidius Mallex in a Black Legion transport that the other Servants units do not possess they keywords to embark upon?

If they cannot be set up, they count as destroyed.

They cannot be set up during deployment as you have no set up OBSIDIUS MALLEX, and they also can't be set up when you set OBSIDIUS MALLEX up from Strategic Reserves as they have no rule to enable them to do so.

Same for the transport, if they can't be set up in the same TRANSPORT as him, they count as destroyed.

Rihgu wrote:

If they cannot be set up, they count as destroyed.

They cannot be set up during deployment as you have no set up OBSIDIUS MALLEX, and they also can't be set up when you set OBSIDIUS MALLEX up from Strategic Reserves as they have no rule to enable them to do so.

Same for the transport, if they can't be set up in the same TRANSPORT as him, they count as destroyed.

Okey dokey. So don't include him and there's no problems with anything.

Follow up:

Can they be set up within 1" of an enemy model? Most rules of this type have some caveat to prevent it, but this one doesn't seem to.

They follow the normal restrictions of however they are deploying, with the caveat that they have special deployment timing and additional restrictions.

When setting up OBSIDIUS MALLEX in the deployment step, they have to follow the normal rules of being within your deployment zone and also have to be within 6" of Mallex.

If you pay CP to put them into Strategic Reserves, they follow the normal rules of that plus having to be within 6" of Mallex.

If there is a case where your deployment zone contains an enemy model, I believe that you could set them up within 1" of it in the deployment step.

I could see a Crusade mission or some open war/narrative play having units in weird deployment zone situations like that, but don't believe it can come up in Matched Play for whatever that's worth.

Rihgu wrote:
They follow the normal restrictions of however they are deploying, with the caveat that they have special deployment timing and additional restrictions.

When setting up OBSIDIUS MALLEX in the deployment step, they have to follow the normal rules of being within your deployment zone and also have to be within 6" of Mallex.

If you pay CP to put them into Strategic Reserves, they follow the normal rules of that plus having to be within 6" of Mallex.

If there is a case where your deployment zone contains an enemy model, I believe that you could set them up within 1" of it in the deployment step.

I could see a Crusade mission or some open war/narrative play having units in weird deployment zone situations like that, but don't believe it can come up in Matched Play for whatever that's worth.

Just future-proofing. There may be a Chaos stratagem (similar to Chaos Daemons) like teleportarium or the like that says "put this guy in reserves, then set him up on the battlefield more than 9" away from the enemy" or whatever. His buddies would come on then (presumably? I don't know). They themselves would be unconstrained by said stratagem.