The effect "During your Battle Phase, this card cannot be destroyed by battle and you take no battle damage from attacks involving this card" is a Continuous Effect that is applied during your Battle Phase.
The effect "If this card attacks a monster, after damage calculation: That attack target loses 500 ATK until the end of this turn" is a Trigger Effect. (It does not target.)
This effect activates after damage calculation and starts a Chain Link even if "Rocket Warrior" destroys the attack target by battle. (In that case, since the monster was destroyed by battle, the effect is not applied.)