If a NOD warlord wants to leave and never return, let them. Make sure they aren't smuggling Tib off of Earth or Venus, but let them. They can go be a petty warlord elsewhere and not bother us. If NOD wants to build a space station, let them go right ahead, its a little different to hide a space station then it is to hide in a bunker. I acknowledge that NOD could create secret enclaves, but again, look at the effort it took us to move 20k people off of Earth. We admittedly did it in a way that was designed towards sustainability and expandability, but thats the thing, the amount of sustained effort it takes to make that move that many people is significant. And you can't say they'd be better at it cause they've an Antigravity drive (as shown by the tech roll table), cause we literally stole the earlier version of that same drive and improved upon it (not to say its probably better then ours in someway, but there are limits).
While NOD as a whole has a comparable industry to the GDI, no individual warlord does. Krukov would probably be the one most capable of creating a vessel to either evacuate or build outposts, but he's about as subtle as a brick, and belligerent to boot. Stahl could do it as well, and would be the most dangerous if he did, but unless I miss my guess he's not one I'd be worried about causing havoc. The Bannerjees are more focused on their research, and I think if given the option they'd hole themselves up in a lab. They've also focused on developing India, and they'd have the most population to move. Bintang's notable weakness is that she's content, and inclided to hold her pirate court and not much else. Mehretu is a fanatic and is the one I consider the most likely to split from Kane and be subsequently crushed. If he doesn't he's still up a creek, cause I don't doubt he could make a space fighter equivalent or two, but to set up a base you need a significant amount of industrial heft, and he doesn't have that. Al-Isfahani just recieved a massive hit from the beat stick and is likely to be subsummed by Krukov given their relative locations, also he's pushing 80, given he fought in Tib War 1 back in the 1990's. There's life extension and all the cyberzation NOD can do, but I'm not sure how he could afford it. Qinglian still controls a realative backwater similar to Mehretu, but she controls a lot less resources then he does and is alot more peacefully inclined. Last, Mondragon is, like Mehretu, a hardliner, but all his industry is focused on mechs, and while he's techinically adept he doesn't have a lot to work with especially with all the GDI activity around RZ7.
Also in general setting up a deep space/asteroid belt base would (from a warlords perspective) either A: create a new warlord when whoever they put in charge inevitably goes rogue, or B: take the warlord away from their center of power and lead to an upstart taking their place back on earth leaving them without any reasources.
If they do it publically unless they are just setting things up in orbit (good luck finding an orbital thats not taken) the time and scale it would take to build a long distance colony ship is considerable.
Anyway TLDR: I don't consider a NOD warlord to try to set up secret bases all to likely either for lack of industry, differing priorities, or cynical despotism power dynamics. The exception is Kane, but he just wants to GTFO.