August 10, 2015 2:02 p.m.
No, but only because the planeswalkers exile themselves in order to transform (not flip). When an object changes zones, it becomes a new object. The exile effect won't apply because the planeswalker that returned from exile is not the same object that Rally the Ancestors returned.
If the card simply transformed without leaving the battlefield, it would be the same object and would be exiled. Rally the Ancestors doesn't care about types after it resolves.
August 10, 2015 2:11 p.m.
You get to keep the planeswalker, because it's a new object and rally won't recognize it anymore. You can get the same effect from flicker effects like Cloudshift. Incidentally, if you have two Lilianas in your graveyard she'll get to flip right away, because one of them has to be sacrificed to the planeswalker uniqueness rule. FUN!
August 10, 2015 7:21 p.m.
Note that the planeswalker uniqueness rule does not cause sacrifice. You merely put the extra planeswalkers into their owner's graveyard.
August 10, 2015 7:25 p.m.
Yeah, I shouldn't have said sacrifice. Also, looking back it's the legend rule in this case not the planeswalker uniqueness rule that puts one of the Lilianas into the graveyard. The other one still sees it as a dies trigger and flips, but that was a good catch Epochalyptik.