Castellan of the Rock reads:

Limited Response: After you play a character or location from your hand, choose and kneel a character without attachments. (Limit 1 Limited Response per round.)

Can Castellan of the Rock respond to himself coming into play?

Sinis said:

Yes. Referring to (but being to lazy to actually map out) the anatomy of an action window, the Castellan comes into play - along with its text - during Step III of the Player Action Window you use to play him. That creates an "after a (Lannister) character is played" Response opportunity that any player can Respond to in Step V. Since the Castellan's text in is play while the Response opportunity is open, it can be triggered.

This is something that can take some getting used to. Response opportunities stay open until all players have passed on them. This creates situations in which a) multiple Response opportunities are open at the same time, letting you trigger Responses in an order different from the order in which the opportunities were created and b) text that comes into play AFTER the Response opportunity is created (but before it closes) can trigger off of said opportunity.