We still haven't had it confirmed that Dottie is the assassin who killed Krzemenski. I still agree that it's likely that that assassin is a woman. But what if it's not Dottie? Could Dottie be trying to protect Peggy? Maybe some of the Red Room trainees work for Leviathan now, but some (besides the girl survivor seen in "The Iron Ceiling") don't.
That's possible. She did seem somewhat idolized by her, with that creepy mirror scene.
Also, killing Krzemenski and the prisoner kept Peggy from getting implicated. So maybe Dottie is the assassin, but in her mind she did it in order to protect Peggy, if she knew the prisoner could identify Peggy.
If Dottie simply wanted to kill Peggy, it seems like she'd've had ample opportunity now for that.