Do "when I attack" triggers create a chain, such as yellow Ambessa's champion empowered ability?

Yes. "When I attack" is a Triggered Ability, and all triggered abilities use the Chain (Rule 383.3, 383.4.e).

For empowered Ambessa, Respected and Feared, here's the sequence: the moment she gains the Attacker designation, her empowered "When I attack" ability goes on the Chain as a pending item and the game enters a Closed State (FAQ #11742). While the Chain has items, only Reaction-speed plays are allowed — so your opponent can't interrupt with Action-speed spells. Opponent "when I defend" triggers go on top of yours and resolve first, then reactions can be added in priority order, and finally her trigger resolves (killing an enemy unit there with less Might than her current Might, which includes her Assault 2 bonus while attacking).

Note the two keywords don't merge: Assault is a passive that applies immediately and never uses the Chain (FAQ #5840), while her "When I attack" kill is a trigger that does.