I attacked my opponent with a creature, it wasn't blocked, and I ninjutsu-ed in a ninja. In response, my opponent unmorphed a containment priest, and it immediately exiled my creature. I had a removal spell in hand that I could cast, but I didn't get priority until after my creature had gotten exiled. When a creature is unmorphed, it should cause another round of priority, but arena didn't give me one (I wasn't in full control mode, but I did have a spell I could cast).

TL;DR: unmorphing a creature doesn't give another round of priority if you aren't in full control mode, despite being important for gameplay