I do see that this is a tough situation that is taking an emotional toll on you, however discussing things in front of her like you have (threatening to leave, putting her in day care) is not appropriate and only making the situation worse.
Being 4 is a tough age, especially with a sibling that is young and needs you physically a lot more than DD (nursing etc) I think this is also a normal age to have daddy as the "favorite". I am sure it has been a hard year for her too. She has had to deal with changes with herself, the family, a new sibling...
How would I handle it? Personally I would do the following:
1. Constantly reassure her of my unconditional love and devotion for her
2. Try and spend alone time with her (which you are)
3. Do not use put downs, threaten, or say negative things about her/your relationship (which it seems you are via your post)
4. Absolutely try your best not to snap at her (and encourage DH the same) b/c it's just not good for any relationship
5. Focus on the positives instead of the negatives. "You did a good job entertaining yourself while I fed DS. I appreciate your help" tings to that effect.
Obviously she is saying she doesn't love you and only loves daddy for a reason. I absolutely do not think it is the truth...but I think she has gotten some effect from you from saying it, maybe attention? (even if it was negative)
You could try humor/catch her off guard.. She says "I only love daddy" you could say "I love daddy so much! He is the best huh?" or make it into a discussion "What do you love most about daddy?" "I love x,y,z about daddy"