I was the invisible child at school. There was no way that I would ever have been picked for anything sporty, or anything that was a popularity contest. I was also overlooked for things as my mum was a teacher at the school, and didn't want people to think I was being favoured.
I remember trying out for the quiz team in P7, and answering far more questions than anyone else, and getting them all right. I wasn't picked, and I was really upset. I genuinely couldn't understand why I had been overlooked. The teacher actually spoke to my mum about it off her own back (I assume she realised she needed to justify herself!) and explained that she thought I would be too nervous at the competition. I'm still bitter about that one, as I strongly feel that I had proven my ability and should have been given the chance. In the end I was vindicated, as the team were knocked out in the first round.
Anyway, that was a long winded way of saying that I don't think it would be unreasonable to speak to the school, so long as it's phrased as concern for your daughter rather than a complaint. However, I would probably encourage your daughter to speak to the teacher herself. Practise with her what to say; she could explain that she was disappointed and just ask for feedback on her audition. (Also - get her to learn any parts she likes - there are often children off on the day of the show!)
Having said that, before saying anything to teacher, ask your daughter, honestly, how her audition went. Last year, I directed our school Christmas play, and there were a couple of girls who I was expecting to do well, as I knew they were talented, but on the day of the audition they were really self-conscious and didn't actually audition well. Other children got the main parts, and the girls were gutted, but they really didn't deserve the parts based on their auditions.