In this particular situation if you're hearing him try ask and you see him trying to leave, and the little one is still bothering him, could you step in before he gets really frustrated and just distract the little one (without calling attention to how she's in his space and he's asked her to stop)? Not just a special area to dance, but something completely different? Ask her to come help you with something? Read a book? I have a 4 year old, and she does need more "help" in respecting other people's space but at the same time I don't want to be taking sides (which is how they perceive it, I think, when I say "dd, ds asked you for some space"--and regardless, reminding her to give him space can lead to a new power struggle, between me and her....). So I find that if I can just distract her with something, that helps my other kids get the space they need without taking sides. And then I can address the whole "space" issue with just the little one. And, I've noticed the other kids now have started to add "distract the 4 year old" to their repertoire of coping strategies. So now they ask, then move, then sometimes try to distract her ("little sister, why don't you play with this over there where there's room?"), and sometimes this works.
And then, could you later (a few minutes later? as soon as you get her away?) remind her how important it is to give people their space when they ask? About how if feels to DS when he's asking for space and she doesn't leave him alone? Just kind of casually? I find that the more calm and casual I am about it all, the less worked up and frustrated I am, the less these annoying things go on. So I'd say something like "remember, it's important to give people their space when they ask." And then just drop it, for the moment. I find that it's easy to get sucked into lecturing and/or arguing with my 4 year old, and that only makes it all worse. Also, my little one likes to go for the reaction from her siblings (and from me), so to get her to stop we can make our reactions boring (this is hard for kids to do, but we adults can model that--and this is also where distracting her comes in handy, it prevents her from getting that reaction from siblings that she's looking for by just removing her from the situation).