"You're the sister of Joanna Mills." Anybody in real life would have said, "You're Joanna Mills's sister," but that would have sounded awkward because of all those s's together, so the writers had to make it "the sister of Joanna Mills". Four years of writing about the Collinses, you think they would have known better when they chose Joanna's surname.
If Daphne is Joanna's sister, and Joanna was engaged to be married to Randall Drew, then I'm surprised that Randall's sister Samantha hadn't met Daphne before. Granted, this is 1840, when getting around wasn't as easy as it was in 1970 or 2011 - but such considerations tend not to be taken into account on Dark Shadows.
I don't think we ever get an answer on how the playroom became a now-you-see-it-now-you-don't room, do we? As Taeylor has pointed out, we don't know why the parallel time room was changeable, either, but at least in the case of the parallel time room, it always seems to have been that way, so there may have been something special when it was originally created. In the case of the playroom, we know for a fact that somewhere along the line its rules of existence changed, and we don't know what caused that change.