If Sigrid leaves the battlefield before the triggered ability resolves, the target creature won't be exiled. It will remain an attacking or blocking creature.

Auras attached to the exiled creature will be put into their owners' graveyards. Equipment attached to the exiled creature will become unattached and remain on the battlefield. Any counters on the exiled creature will cease to exist.

If a token creature is exiled this way, it will cease to exist and won't return to the battlefield.

Some Gods in other sets have abilities that say they aren't creatures under certain conditions. If one of them isn't a creature (and thus also not a God), Sigrid won't have protection from it.