Although the creature card 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.

If a card that isn't a transforming double-faced card becomes a copy of a card with craft, it'll stay in exile if you activate the craft ability. It won't return to the battlefield.

If the materials required include multiple objects, you may exile some of them from among permanents you control and the rest from among cards in your graveyard. You don't have to choose all permanents or all cards from your graveyard.

The Dinosaur, Merfolk, Pirate, and Vampire exiled to pay Throne of the Grim Captain's craft cost need to be separate objects. One creature with changeling is not enough.

The back faces of some cards with craft refer to cards "used to craft" it. This refers to the cards exiled as part of the cost of the craft ability of the front face. Those cards are considered to be "used to craft" that permanent as long as they remain exiled and the permanent remains on the battlefield, even if the permanent's controller changes or some of its characteristics change (because of a copy effect, for example.)

You choose which player, planeswalker, or battle the creature you put onto the battlefield is attacking as it enters the battlefield. It doesn't have to be the same player, planeswalker, or battle that The Grim Captain is attacking.

You may exile tokens you control as part of the materials required. However, because they aren't cards and won't stay in exile, any abilities that refer to what you "used to craft" the back faces won't refer to anything.