You choose which player or planeswalker Zareth San is attacking. It doesn't have to be attacking the same player or planeswalker that the returned Rogue was attacking.

Before blockers are declared, attacking Rogues are neither blocked nor unblocked, so you can't pay the cost to activate Zareth San's second ability.

Although Zareth San is attacking, it was never declared as an attacking creature (for purposes of abilities that trigger whenever a creature attacks, for example).

To activate Zareth San's second ability, you reveal it in your hand. It remains revealed until the ability has resolved.

Zareth San's second ability can be activated during the declare blockers step, combat damage step, or end of combat step. If you wait until after the declare blockers step, because all combat damage is dealt at once, Zareth San won't normally deal combat damage.

If Zareth San leaves your hand before its second ability resolves, the ability does nothing as it resolves. Zareth San remains in its new zone and the Rogue you returned remains in its owner's hand.

If a creature in combat has first strike or double strike, you can activate Zareth San's second ability during the first-strike combat damage step. Zareth San will deal combat damage during the regular combat damage step in this case, even if it somehow gains first strike.

In a multiplayer game, if a player leaves the game, all cards that player owns leave as well. If you leave the game, any permanents you control from Zareth San's last ability are exiled.