This ability triggers after blockers are declared during the declare blockers step. Each attacking Rogue you control gets +2/+1 if no creatures were assigned to block it. That creature will get the bonus even if an effect causes it to become blocked.

An ability that triggers when something “attacks and isn’t blocked” triggers in the declare blockers step after blockers are declared if (1) that creature is attacking and (2) no creatures are declared to block it. It will trigger even if that creature was put onto the battlefield attacking rather than having been declared as an attacker in the declare attackers step.