One of my sons went through a phase of being very upset every time I'd come to pick him up at preschool. He was only there for the mornings while many of the children stayed all day. He often insisted that I had arrived "too early." I figured that part of the problem could be that while I arrived at 12:15 everyday, sometimes the kids would be on the playground, sometimes they'd be at "meeting," and sometimes the teacher would be reading them a book. He wasn't getting consistent "closure" everyday. There was nothing about the schedule that said to him, "now is when my mom comes to pick me up." I spoke with the teachers and the director of the preschool, and finally they started being more on top of sticking to a routine (and I could totally understand why they wanted to be able to "go with the flow" a bit, but I didn't think it was entirely age appropriate for 3-year-olds), and pick-ups got much easier. These days, both of my preschoolers have occasional difficult pick-ups, and it usually means that they're really tired and/or hungry. When they balk at putting their snowsuits on, I say, "okay. You will be cold outside, but this can be your choice." I wouldn't worry about your dd getting her shoes on before you leave. Along with trying to get the daycare to have a pre-pick-up routine (if they don't already), I would try to stick to a post-pick-up routine as well (i.e. in the car you have a snack waiting, when you get home you read a book and feed the fish, or whatever). When toddlers can predict what comes next, they tend to be much more easy-going about everything.
HTH!
Lex