Sacrificing Soul Snare is part of the cost to activate the ability. Once you activate the ability, no player can do anything to Soul Snare to stop you from activating it.

If Soul Snare's ability targets a creature that's attacking a planeswalker you control, but that planeswalker is no longer on the battlefield as the ability tries to resolve, the attacking creature will be an illegal target and Soul Snare's ability won't exile that creature.