An interesting perspective, but the thing is that Cegorach doesn't exist in the warp. the reason that he was able to avoid Slaanesh and destruction was that he did not have a presence in the warp, as he hid himself entirely in the webway, so I think that rules him out as a warp deity.
I believe the Eldar deities are of two possible origins. the first is that they are old ones who greatly favored the Eldar above the other created races, and abandoned the other old ones to be gods amongst their creation. The second being that they were created by the old ones with the intention of championing the Eldar agaisnt the C'tan, and therefore are merely Eldar of superior design and creation.