Have to agree that Warmog's is not the item you want for Morde.
Think of it this way - health, armor, and magic resist are all ways to increase your survivability. However, Morde comes with a shield - pseudo-health which is, essentially, free. Piling normal health on top of that shield doesn't make the shield any bigger. Armor and magic resist DO affect the shield though, so stacking them will benefit Morde far more than health ever will, effectively multiplying the static value of Morde's shield.
Magic pen is the way to go to raise Morde's damage, though - his AP ratios are garbage, and he's not exactly the best candidate for an AD build with no chasing/slowing abilities. While I normally like merc treads a LOT, I think sorc shoes are so valuable early on that I do endorse picking them up, then after you get a few armor pieces (Randuins is perfect to start with, Aegis, GA, Force of Nature are all great for your second piece) picking up an Abyssal Scepter - the MR helps you out, and the aura not only gives you great Mpen personally, but also gives you more to offer in the teamfights.
With shoes and scepter, you don't really need more Mpen unless theyre really stacking it, in which case Haunting Guise will be a better get than Void Staff - stacking AP doesn't help you that much, and a lot of the cost of that staff is wrapped up in its AP value.