FFG says this will be adressed in the next FAQ, maybe differently, and that this ruling should be used until then.
Note that in the game we have two different wording "entering play" and "play" :
"Banner for the Dragon
Gold (2) STR (2) Military Power
[Targaryen Character]
Bannerman.
House Targaryen only.
Response: After a character with ambush enters play, attach Banner for the Dragon to that character, if able. (Counts as a Banner attachment with the text: 'Any Phase: Discard Banner for the Dragon from play to return attached character to its owner's hand.')"
All agree that entering play includes the situation when a character has been put into play whereas playing do not. But there might be a timing difference too, since a character enters play in Step 3) but is played in Step 1). When is the Response opportunity opened : Step 1), Step 3) or Step 4)?
It is more confusing than I first thought.