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So a Fighter marks an orc. The orc attacks the Fighter.
The Warlord interrupts with Leader's Intercession, which makes him become the target of the orc's attack.
This means the orc is making an attack that doesn't include the Fighter as a target.
Does the Fighter's Combat Challenge trigger?
Yes!
The fighter's combat challenge is triggered when a marked enemy attacks an ally (and you are also not included in the attack). Since this interrupts that attack and retargets it, your combat challenge can trigger.
