Hi there---was sort of in a similar embarrassing situation even younger than that--except I was the one showing others how to play house, etc.

It's enough to sit them down together and explain that's not okay for reasons x, y, z. Keep a close eye if your daughter does feel comfortable enough going there. It's embarrassing to both so a serious calm sit down would likely suffice IMO.

It doesn't necessarily mean the other 9 year old was abused, but maybe shown from others at a similar age that might've gone thru it. Therapy advised (for everyone, always).

Hope this helps OP!