I don't have the sheet in front of me, but the side mission Sympathy for the Rebellion has a special section for setup that says something about the imperial player starting with threat equal to 2x the mission's threat level and making an optional deployment. Does the optional deployment use the threat just gained (up to a value of 4 if it's the first side mission?) Or is it considered a freebie?

Optional deployments still require threat to deploy.

"Campaign Deployment", RRG, Page 11:

When the Imperial player resolves an optional deployment, for example during the Status Phase, the Imperial player can deploy any Deployment cards from his hand. He must spend (threat) equal to the group’s deployment cost, and then he deploys all figures in that group to any active deployment point. Figures deployed as initial or reserve groups do not cost (threat) to deploy.

That's what we thought. It happening during setup was throwing us off. Thanks.