I gotta say, Kantoken, that I find all of those unconvincing reasons for deep striking. Let's look at them:
1.) Building tension? Why would it do that, and what would it matter even if it did?
Look at it this way. At any given point, any good player will know exactly where he doesn't want that Daemon Prince to come in. It should be pretty clear what the best spots for deep-strikes are. It's not really all that different from just knowing where the Daemon Prince actually is.
And, while you could deepstrike into a worse spot, it's never going to be worth it just for the surprise value. If you're up against a reasonably competent player, you'll either deepstrike right about where he expects you to, or you'll deepstrike somewhere that's better for him.
To put it another way, good players will prepare for the worst. Given that, any surprise willl be a good surprise. Moreover, they'll know that, and that pretty much shoots any tension-building in the foot.
Even were it otherwise, expecting someone to make a mistake due to tension is almost always a mistake in and of itself. They might, but you shouldn't count on it. In fact, it's basically a bad idea to make an otherwise-worse move for the sake of building tension, and deepstriking a DP is, otherwise, worse than starting him on the table. (as Rabbit pointed out)
2.) With wings, you can just fly to the cover, then assault over it. In fact, wings will let you get behind cover far more reliably than deep-striking, since you don't scatter. Deepstriking behind cover requires getting lucky. Moving there normally doesn't. Moving is pretty much better.
3.) If it's good to present a new target half-way through the game, it's better still to have that target presented all the way through the game. On the other hand, you basically don't want your DP to get shot at at all, so never presenting it as a target is even better still. This, too, seems like it just fails to be a good reason to deep-strike
As Rabbit said, a Prince which deepstrikes can't possibly assault till turn three--at best--and there are all sorts of die rolls that can go wrong which could delay him further. When he deep-strikes, there's no way to reliably keep him hidden.
When he starts on the table, he'll reliably assault by turn two. He might even assault on turn one. A Daemon Prince who hasn't assaulted by the end of the third turn (the first turn a DS prince could possibly assault) is just being played poorly.
No, while the prince can deepstrike, it's just not a good idea very often. I could see it being a good idea on occasion, or during an escalation mission where he has to be in reserve anyway, but, in general, it's just not a big deal because it's not a very good move.