Underworld Sentinel can attack even if there’s no creature card in your graveyard to exile.

If you gain control of another player’s Underworld Sentinel and it then dies, you’ll put the exiled cards onto the battlefield under your control.

If Underworld Sentinel leaves the battlefield without dying, the exiled creature cards are exiled for the rest of the game. If Underworld Sentinel returns to the battlefield later, it’ll be a new object with no memory of the creatures it exiled previously.

In a multiplayer game, if a player leaves the game, all cards that player owns leave as well. If you leave the game, any permanents you control from Underworld Sentinel but don’t own are exiled.