I don't know what state you live in (and since some of these posts are searchable you probably don't need to tell me) but sometimes when you call CPS you either get a good worker who isn't getting the details that will make a case open-able... or sometimes it's not as good a worker and they don't recognize a problem when they see it in some cases.
For now I have some advice for you... first off, I absolutely 100% agree with the lawyer you spoke to: do NOT let your daughter visit him, at all, period, end of story. I think I read here that his name's not on the birth certificate, you were never married, don't know if there's ever been a blood test, and was he in her life consistently all these years... all those things go to whether he has visitation rights. Sounds like right now, given the concerns, he doesn't, unless I'm missing something.
Next, do speak to these lawyers to find out how you protect your rights. If you think it's healthiest to cut off contact, or to only have supervised visits in a neutral place... whatever you think in an ideal situation is best, get advice on the best way to get that. And ask your lawyer if you should file a police report about what she said, even if the police wouldn't do anything. Ask if there's a way to do it safely, since he's a local cop and of course you'd rather he not retaliate (i.e. can you report in another jurisdiction? I don't think you can but you should ask anyway in case there's a way).
If you haven't already, sit down and right down EVERYTHING. Write down all your concerns and red flags, when you first noticed them, the correlation with her visits with her dad, her separation anxiety, EVERYTHING. It's always good to have the story in writing because you never know when you'll need to draw from it or even want to submit it to your lawyer or someone you trust.
Re: her separation anxiety, let me be clear that obviously I don't know what actually did or didn't happen between your daughter, your ex/her dad, and his sons. But I DO know that often when children are abused, part of how the abuser keeps the victim silent is to tell them that if they speak up, they'll lose what they value most: in this case your daughter would lose you. I would not be suprised at all if your ex didn't tell her that he'd arrest you or something else scary and terrible as a way to try to get her to shut up. Maybe that's not what happened... but given the flags on this, I wouldn't be suprised if that's exactly what happened. Especially if he's a cop.
Have you ever asked your daughter whether anyone's ever asked her to keep a secret, especially a secret she didn't want to keep but she was afraid to tell? And what she was afraid would happen if she told? If you haven't asked her, you should. Sometimes that is a question that can help open the door to more truth about what she's been through, if there's anything she hasn't told you yet.
Best of luck mama. Sorry CPS closed it already, but who knows, it could be they really didn't have enough to go on yet, since she hasn't disclosed. But that's why you need to write down all her behaviors and especially the timeline between when she visited her dad and noticing the penetration and other behaviors (you mentioned her getting more difficult to deal with, etc) and any anxiety/upset she showed when it was time to go visit her dad. Write ALL that down.
Heaven forbid you ever need to report to CPS again, but having this will make it much more effective a report.