I don't have a suggested reading, but my one suggestion is that you don't need to discuss everything with her. If she can't take the class for one reason or another, then she can't -- there don't always need to be long discussions over it.
If she doesn't want to talk about it, then don't make her talk about it. The fact that she doesn't want to discuss it doesn't mean there is anything necessarily wrong -- she just doesn't want to discuss it.
Anyway, what's to discuss? She can't take the class -- that's a fact. There are many facts we all have to get used to in this world. If she can't take that class, she can take another class. End of discussion.
Do I understand correctly that she is 5? I think you are expecting way too much depth of communication from a 5 year old. You are also worrying a bit too much about what sound like normal 5 year old behaviors, gifted or not.
If she has hurt feelings about the class, she will get over them. Remember that hurt feelings happen all the time to all of us, and they are a natural part of life. There is nothing wrong with letting her feelings be hurt for a while.
When you mention the class she couldn't take, just keep it light. It truly is not the end of the world, and the more you act like it is, the more hurt her feelings will be over it. You only need to say, "Oh well, too bad you couldn't take that class, what other class might you like to try?"
Are you sure she feels "displaced?" That's kind of a strong statement about not being able to take a dance class. If she feels displaced over something that small, then the lesson that you need to teach her is that disappointments are many in life, and she needs to let little disappointments go.
Yes, as you said, I think you need to teach yourself to let that notion go. What's wrong with letting a 5 year old go off into her own world?
She is your first and your oldest, and I certainly understand through experience that we often worry most about how our firstborns are being traumatized by life experiences, and we overestimate our role and our ability in shaping them.
By the time you get to child #3 or beyond, you're usually too worn out to fuss and fret over them as much, and they probably tend to do better because of it.
Your daughter sounds like a very well-adjusted little girl. Let her dream and be different, and if there are issues of attention at school, discuss them with her teacher and hopefully her teacher will have good ideas on how to engage her or keep her otherwise occupied. Some kids make really good classroom helpers.
Good luck and don't worry too much.
p.s. -- Reading below-- Oh, you homeschool? I think you really might want to consider letting her try going to school. If you cannot handle your child experiencing disappointments, it might be good for her and you to let someone else deal with her for a few hours a day, so that you don't have to witness everything and worry. And I don't mean that in a mean way. It is really valuable for both you and your child to let other adults deal with them some of the time .