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A Cerastus Knight lancer says it can be taken as a Lord of War for any army in the Armies of The Imperium, but it isn't listed under the Castellans of The Imperium (Gather Storm 1).... is it okay to take it?

Unfortunately, no.

The problem is that the Castellans of the Imperium detachment doesn't offer a LoW slot, but instead offers an explict list of datasheets that can be selected. The FW knights are not on that list.

The GW rules writers usually do not consider any FW products when they are writing their stuff, so this isn't a surprise. FW has reacted to this in the past by doing things like the IA11 2nd Ed, where they offer plug-in formations for the Eldar Craftworld Warhost for FW models.