At five, she's too young to understand the nuances of the difference between adult relationships, such as boyfriend and girlfriend and husband and wife.
Shit, at that age I thought if you kissed someone you had to get married, it was the law.
It's natural that the setup has thrown up lots of questions for her, at five. I'd encourage her to go to her dad with those sorts of questions rather than the three year old, but she is really too little to understand it might be confusing for the three year old.
I think it's quite sweet they were in bed whispering away together - as step siblings (or potential step siblings, or whatever) it's nice they get along.
It doesn't sound like she's done anything terrible (although I'm not sure five year olds can do anything terrible maliciously anyway).
If you're really unhappy with her being in the 3 year olds room, you either need to move the baby into yours, have her in your room, or have 3yo in your room. The alternative is not having her overnight at all, and if your dp is living with you (not clear from your post) that seems like a terrible thing to do and could potential damage his relationship with his daughter, his ex and ultimately you if he resents it.