If the reanimating warrior is dealt damage and dies in HQ, where does it moves to? Last planet?

I'd say that, since there is no adjacent planet to move to, Reanimating Warrior simply stays in HQ. The triggering condition doesn't specify that Reanimating Warrior must be at a planet, and preventing the unit from being destroyed changes the game state by itself, so triggering the Interrupt is legal. Note that Interrupts (like Reactions) are not automatic unless they are Forced, and other triggered abilities (Actions and Battle abilities) are never automatic.

" Interrupt : When this unit would be destroyed by taking damage, remove all damage from it and move this unit to an adjacent planet instead. (Limit once per phase.)"

Khudzlin is correct. Under the "do as much as you can when you resolve" rule, you would remove the damage, but not move it to an "adjacent" planet when the replacement effect resolves.

thanks,