Understanding and judging Sneak Attack is pretty difficult for a beginner, as the precise wording is important. It certainly took me some time to understand.
The ally is discarded at the end of the PHASE, not at the end of the turn (like Nick Fury, who is discarded at the end of the turn). This will under most circumstances mean the PLAYER PHASE, so the ally is not around for the VILLAIN PHASE and cannot be used for defense then.
Also, the ally ENTERS PLAY, which is not the same as being PLAYED FROM YOUR HAND. Many allies with one time special effects (usually responses) refer to one OR the other. Compare the responses of Beast to Pixie.
Then, the Ally is DISCARDED, not DEFEATED, so effects which refer to allies being defeated won´t work (like Schnelle Reaktion).
But if the deck includes several high-price allies with powerful one-time effects, this allows for wonderful combos.