But what on earth would Serbia have to do with it?
She had been actively and very visibly campaigning for aid to the people Milosevic was persecuting at the time that NATO decided to launch an air-strike on Belgrade TV HQ, killing a load of Serb TV personalities and destroying Milosevic's primary means to deliver propaganda
It was mostly the UK agitating for it, and since Dando was a prominent UK TV personality seen to be actively working against Serb interests, she was an obvious target for an act of reprisal. It may seem odd and pointless, but you need to get into the mindset of Eastern Bloc dictators and former Soviet satellite state security to understand it. Their minds work differently, their outlook is entirely different to that of their Western 'foes', their doctrines and methodology is different.
Look at what Russia did to the Skripals. The fact the Skripals lived is irrelevant. In reality that wasn't even the primary goal of the operation. Everybody knows it was ordered and carried out by the Kremlin, everybody knows it was dirty, illegal, caused utter mayhem, and looked like the act of a rogue state. THAT was entirely the point. It's a massive "We know you know, and we don't care" from the Kremlin to send a message to people that this is how they will deal with people who fall foul of them, to hell with the consequences, and to hell with how it reflects on them. They simply don't care about 'appearances' in the way that most 'civilised' nations wanting to be considered part of a global fraternity do. Tito, and as a consequence, his successors in the Yugoslav Communist Party were much the same.