Aight, so i was randomly looking around at exotics that i may or may not have in my collections. I found that, while on the mobile app, I could look at the Arbalest's lore
[spoiler]the linear fusion rifle that's placed in primary slot and is supposed to come out this season? That's the one.[/spoiler]
Anywho, the lore is the Drifter talking to a fellow Risen about the dark ages, he drops the bomb that this mysterious figure was a Warlord. After a few words, the mysterious figure calls the Drifter a liar and a cheat and tells him to, "Stay out of my Crucible."
I think it is pretty safe to say that Lord Shaxx was in fact a Warlord. Heh, kinda obvious with a title like that, just took out the 'war'.
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It would make sense with how little we know about shaxx.