If Kaalia attacks an opponent, the creature enters attacking that player even if Kaalia is somehow attacking a different player or planeswalker as its triggered ability resolves.

Although the creature you put onto the battlefield is an attacking creature, it was never declared as an attacking creature. This means that abilities that trigger whenever a creature attacks won't trigger when it enters the battlefield attacking.

Any effects that say that the Angel, Demon, or Dragon creature can't attack (such as that of Propaganda or if the creature has defender) affect only the declaration of attackers. They won't stop the creature from entering the battlefield attacking.

If the opponent Kaalia attacked is no longer in the game when its ability resolves, you may put an Angel, Demon, or Dragon creature card onto the battlefield tapped, but it won't be attacking anyone and it won't be an attacking creature.

Kaalia's ability doesn't trigger if it attacks a planeswalker or battle.