Senu's last ability will trigger only if Senu is already exiled at the point immediately after blockers are declared and at least one legendary creature you control that attacked isn't blocked. It's not possible to exile Senu during the declare blockers step in time to have the ability trigger.

Although Senu enters the battlefield attacking as a result of its last ability, it was never declared as an attacking creature. Abilities that trigger whenever a creature attacks won't trigger when Senu enters the battlefield attacking.

You choose which player, planeswalker, or battle Senu is attacking when you put it onto the battlefield attacking. It doesn't have to be the same one that the unblocked legendary creature you control is attacking.