Hi,
Thanks for your question. Luckily, your question is covered by this Gatherer ruling:
If a noncreature card wasn’t cast and is entering the battlefield as a creature (due to an effect such as that of March of the Machines), it will be exiled. Similarly, if a creature card wasn’t cast and is entering the battlefield as a noncreature permanent (for example, Heliod, God of the Sun with insufficient devotion), it won’t be exiled.
We look ahead to see what Heliod would look like when it's on the battlefield to determine what it's entering as (thanks to 614.12). If your devotion to white is not high enough, then Heliod is not entering as a creature, and thus the Priest won't apply to it entering, so Heliod will enter the battlefield and will not be exiled.
Thanks,
Nathan Long
Magic Rules NetRep