This is very common. My friends and I have all experienced this, as well as my sisters with their kids. So know it's not that unusual, especially at age 5.
I think a lot of us don't enjoy things we're not good at. I don't. So that's understandable. If she's shy at all, it can be hard to perform in front of others - but kids do tend to get past this. I would think that at 5, there would be little difference between her abilities and the other kids - in a few weeks, she will catch up. Those early dance classes (3-5) are super basic. Most kids barely grasp it.
My youngest likes art - but only if it lasts 5 minutes. So we do small art projects. I don't think of it as lack of follow through, so much as it's not her thing. She has interest, but it's minimal. So I adjust my expectations.
My kid would not have enjoyed dodge ball either (especially at 5) and hated tag until grade 3 - now loves it. Some kids (anxious ones) hate the whole competition thing, the chasing thing, etc. Mine outgrew that. I just had to give her time.
We had one come to us and say "I hate soccer" on the 2nd day of soccer. We didn't push it - we could still get out. Just observing the game - we realized our child was not a soccer player.
Trust your gut. If it's something she can overcome with mom and teacher encouraging her a bit, then keep her in it - if she seems to be enjoying it otherwise. If she looks bored, hates going, is not a dance-y kind of kid, then I wouldn't keep her in. She can try again if she's interested in a couple of years. The thing with dance is, there always will be kids who are better, or have started earlier - it's like that with a lot of activities. That's why I like scouting type activities where kids can just join, no requirements, it's social and it's a mix of activities every week. They do excursions (yoga, field trips, zumba, arts, crafts, music, singing together, skits, etc.) and so they touch on everything. It's a great way to figure out what a kid likes, because exposed to a lot.