When your "D. D. Warrior Lady" attacks "Wall of Illusion", if you activate her effect then "D. D. Warrior Lady" is Step 1 of the chain and "Wall of Illusion" is Step 2, "Wall of Illusion" resolves first and returns "D. D. Warrior Lady" to your hand, and then "D. D. Warrior Lady" resolves and "Wall of Illusion" (only) is removed from play.