The Soldier tokens created by Caesar's ability enter the battlefield tapped and attacking, but since they weren't declared as attacking creatures, no abilities that trigger whenever a creature attacks or whenever you attack (such as Caesar's own ability) will trigger.

You don't choose modes or a target for Caesar, Legion's Emperor's ability at the time it triggers. Rather, a second "reflexive" ability triggers when you sacrifice another creature this way. You choose modes and, if you chose the third mode, a target for that ability as it goes on the stack. Each player may respond to this triggered ability as normal.