Raise a question if, in your professional opinion, there are questions about how the proxy relationship will (or can) work for your project. If the change stands, work through your new proxy. Don't attempt to work around the proxy or to bypass her delegated authority unless you have political backing to do so.
If you're practicing Scrum, Dave appears to be the Product Owner. See Scrum Roles for why this seems to be the case, based on his responsibilities.
What successful practitioners of any type know is that absentee Product Owners or the presence of Product Owner proxies rarely lead to successful outcomes for the project. The most successful projects require active, ongoing participation by the Product Owner in order to facilitate tight feedback loops and subtle micro-adjustments within each iteration.
Even in a traditional waterfall environment, absentee management rarely results in a successful project. YMMV, of course.
Dave has apparently already decided that his time is more valuable than direct interaction with the project warrants. He believes he has bigger fish to fry. So, Sally is now his proxy, and (politically speaking) you should respect that.
Unless you have further conversations with Dave to identify the limits of Sally's proxy authority, you should assume that she's speaking ex cathedra for Dave. By designating her as the proxy, he has transferred responsibility for promoting his vision to her, and it is her responsibility (not yours) to ensure that she doesn't overstep the limits of her delegated authority.
The responsibility for the success or failure of the project belongs to Dave, not to you or Sally. If the project fails to succeed, be prepared to address the lack of direct Product Owner involvement in a post mortem.
In the meantime, by simple virtue of the fact that you're asking the question on the Internet rather than addressing his level of involvement directly with Dave, I'm going to assume that you don't have the organizational cachet to do anything more than gently raise a professional concern about it. Do so if it seems worth spending the political capital; otherwise, if the decision seems fixed, then accept it and begin working through your new proxy management layer.