While this card is reserved on your field, it takes damage instead of your leader.
Select an enemy leader and deal it 3 damage.
QIf I have more than one reserved copy of this follower on my field, and my leader takes damage, does each copy take that damage instead?
ANo. You choose which copy takes the damage.
QIf I play Fiery Embrace with Spellchain (10) and select a reserved enemy Athena, can I deal 3 damage to its leader?
AYes. By the time you resolve "Deal 3 damage to that follower's leader," Athena is already destroyed and no longer on the field, so its ability is no longer valid.
QIf I play Honest Cohort while Raio, Omen of Truth is on my field, and select a reserved enemy Athena, can I deal 3 damage to its leader?
ANo. Honest Cohort deals 6 damage to Athena, bringing it to 0 defense, but it isn't destroyed until after Honest Cohort is fully resolved, so Athena's ability is still valid when you would've dealt 3 damage to its leader.