My situation has been very very similiar, my ds is 6 now. To begin with, I was a little overprotective around this issue, would even avoid reading story books that featured dads as a main role! But I learnt to relax with it - it's a balance between not making an issue out of it, but also being compassionate if needed. I waited until ds started noticing/his friends asked him where his dad was/I could see it was troubling him, before I had a proper chat with him. (Beforehand, I was just a bit vague and said that he had a dad but he lived very far away. He was just too young to understand anything else).
So, on the advice of a social worker friend, I showed him photo's which he really liked and gave him a great sense of relief. I explained that I'm not sure where his dad is or why he doesn't come to visit - and then reassured him with my love and how much he is loved by his family (my dad, etc). I have had to give this talk every now and again when needed, and it's slightly altered to be more age appropriate. I've explained how there are all different types of families, and we are just as good a family as any other. I've talked about adopted kids, kids with no mums, divorced parents, step parents etc. so he doesn't feel we are different in a weird way. I also tell him that I feel sorry for the dad because he doesn't get to see this amazing, bright, fun etc. child like I do.
My ds asked me if he could go and look for his dad when he was a grown up, and I told him could. For the record, I think his dad is a complete cunt. And I will never forgive him for abandoning my son. But I don't let any of that filter through, I'm very unbiased. Although as he gets older I'm sure he'll be asking my opinion. I intend on being honest, but in a diplomatic way, I won't just sit there and call him names.
Some months ago, it became an issue for him again because I had split up with my boyfriend that I'd been with for a year, and who he had really got attached to. I'll definitely be more careful about that happening again, and I think you are right for your daughter to not call your boyfriend or see him as her dad just yet. I also informed his teacher and the school mentor so that they were aware.
It's helpful to realise and accept that it's ok for them to get upset about this, otherwise it can be very disturbing for us as well and then our feelings of insecuirty are passed down to our kids. So although I acknowledge his sense of loss, I am strong for him and don't over indulge in him, or try and make up for it with treats or anything like that. It's also important not to treat it like a taboo subject, it only gives the feelings of loss more power.
Hope that helps!