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That is correct; the relevant rules are in the PFS Guide:
Clerics, inquisitors, paladins, cavaliers of the order of the star, and samurai of the order of the star must choose a deity as all classes in Golarion that receive spells and abilities from a specific divine source receive their powers from a deity. Druids, oracles, and rangers are the exception to this rule. The list is not exhaustive, and divine spellcasters of any future classes whose sources are added as additional resources will be required to choose a deity unless otherwise specified.
Warpriests aren't on the list of exceptions, so must worship a deity.
