To start this off, we should do a quick analysis of the PEN chip and the warlord traits, just so that we know what we're working with. Then, we will analyze options for each one and determine who is best suited for the relic/trait (if anyone) and whether or not it's worth taking. Note that I will be leaving Named Characters out of this discussion as once they codex drops they will have fixed warlord traits and relics, so any discussion of them with regards to this will be moot in a month.
The PEN chip is our only relic (obviously). It is free and our only relic option right now, so there is no reason not to take it. Fortunately for us, it's a rather good relic choice. Anytime either player uses a strategem, roll a d6 and on a 6 you get a command point back. In addition, once per game the bearer or another unit within 6" of the bearer gets one free reroll to hit, to wound, or for damage. This is a fairly run of the mill relic, every army seems to be getting a similar command point recycling ability. That doesn't mean it isn't still good. Now, it only works while the bearer is on the table, meaning that, whoever we put it on should start on the table and be survivable enough to last the entire game. So, a Manta Striking Commander is out of the running, as he is starting off the board and is most likely going on a suicide mission. Same with a Coldstar, though he is more likely to start on the board, his short range and harassment role puts him at too much risk of dying early on. So, our options are something more survivable, more insulated. That leaves Ethereals and Fireblades. Now, both can easily survive long enough to benefit fulling from the CP recycling, but thanks to his ML the Fireblade gets more use out of that free reroll the PEN chip provides. In terms of the PEN chip, I'd recommend sticking it on a Fireblade to maximize CP recycling throughout the game and to get that free reroll on an important ML shot.
Now, warlord traits. Let's start with Exemplar of Kauyon. As long as the warlord doesn't move, they reroll all failed to hit rolls. At first glance, this sounds really good. Then you sit back and think about it. This trait only works on shooting HQs, meaning that it is useless on Ethereals. So that leaves Fireblades, Coldstars, and Commanders. Fireblades seem like a decent option at first with their 30" range weapons, but then you realize that a Fireblade actually wants to be on the move fairly constantly so that our FWs can make use of Volley Fire for the extra shot, so Kauyon directly interferes with his premier ability. Coldstars are fairly obvious, these guys are built for constant movement, sitting still runs counter to their design. And finally, most of our Commanders' guns are short ranged and require constant movement to stay in range while staying out of charge range when possible. The only one that doesn't are MPs, which as we know are grossly overpriced. So again, too mobile and short ranged for Kauyon outside of a single, overpriced build (MP commander). Also, as the final nail in the coffin, all our HQs are BS 2+. Rerolls happen before modifiers, so no matter what you can only reroll 1s. You know what else lets us rerolls 1s? A single ML. By taking Kauyon, you are giving up your Warlord trait options for an ability you are already going to have anyway thanks to a single ML on target. Exemplar of Kauyon is garbage, and should never be taken.
Now for Exemplar of Mont'ka. Okay, this one also sounds good on paper, advance and shoot as if you had remained stationary. Again, Ethereals are out due to the lack of guns. Coldstars can benefit from this one quite a bit (40" move a turn while still hitting on 2+ is awesome), but doing so will likely give up an easy warlord kill due to them being isolated and alone in the enemy's flank/backline. Regular Commanders can see some usage from this, adding d6" to their threat range while still being under the protection of Drones, but they cannot advance the turn they Manta Strike in, meaning to benefit from this trait they either have to start on the board or hope to survive the counter attack from their drop. So, once again, we're back to the Fireblade. With Mont'ka, he is able to move with his FW blob to keep up Volley Fire while still hitting on 2+ with his ML (if he moves normally, he hits on 3+, if he moves and advances with Mont'ka, he hits on 2+. TAU LOGIC!). He is also well protected from any potential warlord kill thanks to the FW and probably Drone protection.
So, in conclusion, the clear winner from Chapter Approved (or perhaps I should call it Cadre (Fireblade) Approved) is the Cadre Fireblade. He is arguably the best option for the PEN chip, he's the only logical recipient of our only good warlord trait, and he is tailor made to utilize our strategem. Until the codex comes out, as long as we're running with post-CA Index Tau, I recommend running a Fireblade, making him warlord with Mont'ka, giving him the PEN chip, and enjoying the good life of Cadre (Fireblade) Approved.