Id say, Pervavita is right, however the question is valid enough. When you look at the equipment lists it does say that the first dagger is free, and that would indicate that it was "bought" from the list. However reading the rules section of the Mordheim book you get the idear that everyone has one free, "plain" dagger.
This does bring up something eles though.
A lot of specialised warriors (Brute's, Flagellant's) doesn't haver daggers on their initial list. Do they get one?
If not i guess dwafs and elfs in all fairness could grap a free one in their respective material?
Personally id answer both of my own questions with a simple "no", but what's the fun in that?