Well, *I* don't hold my pencil correctly!!

And I do calligraphy and even got paid for it (before kids

). I wrap my thumb all the way around. My dd8 does the same thing, and I tried to correct it at first because I got so much grief for it over the years. ("Your handwriting is beautiful, but you need to learn how to hold a pencil correctly!" ?????) But, she also has beautiful handwriting, and she writes in a way that is most comfortable for her. So I say, use your judgement.
When it came time to teach my boys to hold a pencil, I used the jingle in Bob Jones K curriculum (can't remember it now--maybe someone will chime in!), and it really did the trick. It was the most straightforward way I've ever seen to teach someone how to hold a pencil.
ETA--One way to correct what you are talking about is have her write with broken off pencils only a couple of inches long. The eraser has to fit in her palm while she writes. That forces the correct pencil hold.