"Please don't ever say anything like that again, especially in front of her! We don't want her to hear that she's a disappointment, and we don't agree."
I would drop the "please." And I would say "She is not a disappointment! She is our daughter!" There would probably be fire coming out of my ears as well.
But for me this would be a hill to die on.
POD. I don't have children, but if I did, anyone who expressed disappointment about the gender would be having a deeply unpleasant conversation with me, on the spot. Having been on the receiving end of such comments when I was younger, I can testify that they do hurt, and they do get remembered.
So I would drop the please, and go with a very firm, preferably deadly cold voice, and say something like, "Do.Not.EVER. say anything like that again. She is our daughter, not a disappointment." Take the baby back (if necessary) and walk out of the room.
And if anyone else in the family is foolish enough to interfere with something like "that's just how Grandma is," tell them "Do you honestly think that the girls old enough to understand what she's saying aren't hurt by it? I will NOT have my daughter treated in that fashion." You may well get some flack for upsetting Grandma or rocking the boat, but be firm, and remind them that what Grandma said was very upsetting to you. Talk to your DH; he should be supporting you in this.