Do I still have to pay deflect for Vex, Apathetic's ability when an opponent plays a deflect unit?

No — Vex, Apathetic's ability bypasses Deflect, so you pay no extra cost.

Deflect only taxes "spells and abilities that choose me" (Rule 809.1.c). Vex's ability doesn't choose a target — the played unit is selected programmatically from the trigger condition ("When an opponent plays a unit"), not by you as a choice. Since there's no targeting relationship, Deflect never applies (FAQ #11314, #9312). This is the same reason Vex's stun also ignores "can't be chosen" protections.