Lawyers do not decide whether a law is lawful. (Specific types of) judges do. There is a long, well-established process to this. Lawyers obviously already know that. This is a publicity stunt intended to raise her profile and nothing more.
She is claiming that there are potential legal conflicts without being specific because she knows that her only defense is to claim that she is bound to disregard the order by a higher law. Like a lot of things lawyers say, it's just enough to give her a shade of grey sufficient for plausible deniability. Without such a claim, there'd be no question that she had failed to fill her obligations as an officer of the law, because as we've already established, it's not the AG's position to determine the validity of the laws. We elect legislators and install judges to perform those functions.
The AG's duty is to fairly enforce the laws without allowing their personal inclinations to supersede the will of the people expressed through the republican-democratic processes under which we are governed. Executive orders, including executive orders that address immigration, have long since been established as lawful.
If Ms. Yates sees a blatant constitutional violation in President Trump's order, the correct thing to do would be to resign and immediately work to assist challenges to the law via the long-established processes that permit that. As a high-ranking official in the DoJ, she would surely have the knowledge and connections to do this expeditiously.
Would Democrats have been pleased with Loretta Lynch if she refused to do her part to uphold Obama's EO's regarding immigration enforcement? Something tells me they wouldn't.