If the target creature is an illegal target when Waltz of Rage tries to resolve, it won't resolve and none of its effects will happen. No damage will be dealt, and the delayed triggered ability won't trigger whenever a creature you control dies this turn.

Use the power of the target creature as Waltz of Rage resolves to determine how much damage that creature deals to each other creature.

You pay all costs and follow all timing rules for cards played with the permission granted by Waltz of Rage's delayed triggered ability. For example, if one of the exiled cards is a land card, you may play it only during your main phase while the stack is empty.

The creature is the source of the damage, not Waltz of Rage.