Over the years, I had teachers struggle to correct the way I held my pencil. I had to use those grippy things on a pencil and I was always being scolded. I also had terrible marks in penmanship. When I hit high school and teachers stopped caring (or at least bothering to correct me), I immediately went back to holding the pencil my way - even after probably 8 years of "correcting" my grip - and my handwriting improved 110%. I kept a journal in high school and took excellent notes in college and grade school with my own odd way to hold a pencil, and I have had no health problems except that I have a callus on my ring finger where the pencil digs into my knuckle. When I moved to Japan for a couple years, people began telling me how I was holding my chopsticks wrong as well (in exactly the same way). But I can still use them nearly as well as the Japanese! ^_^
My vote is to go ahead and try to correct it now, since she's so young and she may just need to learn the right way to do it, but if it fails, please don't stress about it. Don't let anyone tell you it will interfere with her life, either. She may need to hold it that way in order to write effectively - right now, it's too early to tell.