If creatures enter the battlefield attacking, do they have to attack Gideon Jura?
No, the tokens are not forced to attack Gideon the turn they are put on the battlefield. They can attack the defending player or another planeswalker.

Gideon's first ability is a requirement placed on the turn-based action of declaring attackers. That action is the first thing the attacking player do in the declare attackers step.

The tokens created by Cagebreakers are not declared as attackers when the restriction is being applied, therefore they are not affected by it.

See this ruling for Cagebreakers:


  Although the tokens are attacking, they were never declared as
  attacking creatures (for purposes of abilities that trigger whenever a
  creature attacks, for example).


And this ruling for Gideon Jura:


  The first ability only affects the declaration of attackers. If a
  creature is put onto the battlefield attacking (thanks to Hero of
  Bladehold, Preeminent Captain, or the Ninjutsu ability, for example),
  that creature's controller may choose the defending player or
  planeswalker that it will be attacking in the normal way.