These are delicate situations that have no clear answer.
My best friend (little league, law school, roommates for a while) and who, back in the day, I helped find his "biological" dad learned through Ancestry that he had a sister... his "biological" dad was not, and in fact his mom had a one-night stand with their local bartender and that's my friend's actual father. He has reached out to his sister, met his dad, and it's made things... better for him, but of course, his mom is now faced with the reality that everyone knows of her transgression.
For me, if it was me, I would ultimately honor what my dad said, only because in my family, my dad was far more plugged into the familial ins and outs than I was, and I would trust that he knew something I didn't. Having said that, I wouldn't have taken "let it go" as an answer, but again, that depends on your relationship with your dad.
Ultimately, if you find yourself in disagreement with Dad, and opt to reach out, you can certainly do so with decorum and respect. Perhaps contact the daughter who reached out and express your desire there? You already know she's willing to reach out and maybe she can act as a sort middle man; you might find out what concerns there are as well and you can then decide if you want to mitigate them or just walk away.
I do know this much: my mom and dad passed last year, and they were my main connection to my family, and on top of the grief is this profound sense of losing connection. I have no regrets, per se, but I DO wish I pushed my dad harder than I did about writing all this ancestry shit down. As people die, information dies, and if you CAN seek that connection I think in the long run it's probably the best move.