If you've said no, and want to stick to your guns about it, let the school know you've had that conversation with your daughter, and that you'll support them in terms of enforcing the consequences, which I imagine will be confiscating the phone. Lots of schools here have rules about parents having to collect the phone if it happens multiple times, (some if it happens just once). Let her know, in advance, that if she gets her phone confiscated at school you won't be able to collect it until Friday/ end of half term or whatever, so the natural consequence is that she'd be without it for a period of time.
I'd also let her know the consequence for her actions when she mentions them as attention getters, but don't buy into them too much. Eg for the 'I'll smash a window if you tell school' something like, "I will be telling school. If you smash a window, then you'll have no pocket money until you've paid for it to be replaced". (Try for vaguely natural consequences, but if you feel the need for a 'punishment' too, go ahead). Hold to the boundaries and consequences you set, and support other places which also have rules and consequences.
If she thinks she has ADHD, you could have a look together for ways to 'help cope' with the situations she finds stressful, whilst maintaining your boundaries. (Eg if she says she wants to listen to music because it helps her focus on a written task, you can have a look for 'ways to help ADHD kids focus in school'). Then help her implement them, in line with school and home rules. No need for a formal diagnosis. TBF, the waiting list in most areas for an ADHD diagnosis is 5+ years, so she's unlikely to get one immediately, even if she's on the list!