Where does Æmber captured from own side go after creature leaves play?
No, but Yes!

It doesn't matter who played Mars Needs Æmber, all that matters is who controls the Martians when they leave play. There are a variety of effects that can temporarily gain control of a creature. Who the Æmber was captured from doesn't matter, only who controls the creature at the time it leaves play. Since Mars Needs Æmber doesn't deal damage, or remove creatures from play, once it's played, who played it is forgotten as far as the Æmber is concerned. This is a small, but important distinction!