Yeah I would worry too.
Not so much because she's found her own private parts but because she seems to be actively looking for others as well - and your niece in particular.
I'd also be worried about where she is learning this stuff.
I don't know how old your daughter is now, but I'd have a talk with your pediatrician and see about having her talk with a counselor.
At the rate she is going she sounds like she's on her way to becoming a sexual predator and her life, her victims and all your lives are going to be complicated and impacted if that happens.
Your niece is upset - have you talked to her parents about it?
Because at this point she might need some counseling too.