M.D.
My opinion...don't tell her it's rude or even think she's being rude. The fault here is your ex, not your daughter's. She's a little girl who rightfully so loves her Daddy and is excited to see him although she currently sees none of his faults. That's what five year olds should see...
She'll grow up and realize over time that you are the parent that she can depend on. She'll run to you when it really matters...for now, let it go as much as it hurts.
Good luck.
-M