It's not a "who goes first" issue. All Bonuses/Abilities activate at the exact moment they can, unless they are canceled.
In this case, Saddy's Ability and Sheitane's Nightmare bonus would both activate. Now because Saddy's ability says that Shetaine's Bonus is canceled, that free's Saddy's bonus.
Basically to my understanding here's what happens.
Saddy's Ability and Shetaine's Bonus both activate.
Shetaine's bonus cancels Saddy's bonus.
Saddy's Ability cancels Shetaine's Bonus
Since Shetaine's Bonus was canceled it no longer applies and Saddy's Bonus now works.
Attack Calculations begin and Saddy gets her +2 Power
Now this may not be exactly per the way it's coded, but the bottom line is, if something is canceled then it will fail to work. Even if it's effect is to cancel something else. (See below for the only exception to this rule)
When Two of the same cancellation type run head to head (ie a Bonus that Cancels Abilities, and a Ability that cancels Bonuses (or vice versa), or 2 Abilities that cancel Abiltiies or 2 Bonuses that cancel Bonuses) they basically cancel each other out.
What happens when the bonus is +2 power and the ability is Power = Power Opp, or the bonus is +2 damage and the ability is
Damage = Damage Opp? This is the only time when the order of bonus/ability matters. I think the ability comes second,
overriding the +damage or +power, unless it is cancelled, in which case the bonus will take effect. But it is worth noting as an
instance not so easily explained by simultaneity.
In my opinion power = power opp takes opponents power (the value printed on the card - bonuses, courage and other dont affect it) and rewrites the value printed on your card with it, and any +/- power changes from abbs or bonuses work this way - they alter the value printed on your card - so the power = power opp takes place first (if not cancelled) and then all changes are applied