The answer to that question leans more in in the general direction that it isn't a good idea to leave the Warp within the force of a gravitational body.
Considering that a ship is required to leave the solar system to open the Warp and enter through it, it would be safe to assume the same is required for exiting as well; lest you unleash unforseen consequences on the system. I did a bit of research in the Lexicanum and on the Warp Jump page I found an interesting passage under the section Limitations of Warp Travel.
Ships coming out of the warp must appear some distance away in deep space or risk destruction among the graviton surges in-system. Because of this many civilised worlds have specific jump points marked by beacons to assist in navigation. An ambushing fleet will often lurk nearby, in the hopes of catching a ship unaware.
(Source: http://wh40k.lexicanum.com/wiki/Warp_jump )
And in the Rogue Trader Handbook on page 186, I found this interesting statement:
STAGE FIVE: LEAVING THE WARP - Once the Navigator’s destination has been reached, he must make a Hard (–20) Navigation (Warp) Test to determine the accuracy of his entrance point in real space, which in general terms the Navigator can perceive from the warp in a shadowy and indistinct fashion. Succeeding at this test means that the vessel exits the warp were the Navigator intended. A failure means that the ship exits off target (dangerously close to a planetary body rather than in the outer reaches of a system for example), with degrees of failure indicating a more extreme deviation.
However, if you consider the Dawn of War series a canon and reliable source, than the following video would seem to contradict these statements.
So I guess it depends on your view and judgement. If this is for one of the WH40k TTRPG's like Rogue Trader that deals with owning a ship and Warp Travel, then that arbitration is in the GM's hands, ultimately.
However, personally I would say that it is better to exit the Warp outside of the solar system. Better safe than sorry, right?