Will we lose music already downloaded?
Leave Family Sharing - Apple Support
The music downloaded as part of the subscription will only be available to the subscribing accounts, as long as the subscription lasts. The downloaded tracks as part of the Apple Music subscription were never yours to keep. Purchases are different, and those will belong to the Apple ID that bought them (any family member).
Can my daughter have the individual membership for her device?
If she is over 13*, she can have an individual membership. The entire Apple Music catalog will be at her disposal again with a new subscription. She will have to add a valid payment method on her account.
The family membership is in my name/account at the moment. Will I be able to choose / allocate the membership to her device?
No. The Apple ID of the family organizer, including the payment method, is yours. Apple IDs are not transferrable.
P.S.: You don’t have to share everything with the Family Plan. You can be individual together, and enjoy the group benefits.