Should I be concern as a dad that my daughter asking me about SnapChat for Windows Phone....
I don't have an answer for this.
Here's what is it:
Snapchat is a photo messaging application developed by Stanford University students.[3][4] Using the app, users can take photos, record videos, add text and drawings, and send them to a controlled list of recipients. These sent photographs and videos are known as "Snaps". Users set a time limit for how long recipients can view their Snaps (as of May 2012, the range is from 1 to 10 seconds[5]), after which they will be hidden from the recipient's device and deleted from the Snapchat server.
Once viewed, they can't be viewed again.