Your daughters are not adding up in my mind. I am cornfused.
You only had daughters.
Two are married matrilineally.
Two of them (daughters) died.
Grandson died. (only one mentioned)
Now you have one daughter left. (is this the third daughter?) Matrilileally married? Any sons by any of your daughters?
How many daughters do you have exactly, married how?
You need to say exactly what succession method you have as people get confused. Gavelkind, Primogeniture, Seniority. (Elective?)
Check your coat of arms to see if anyone is listed as your heir. (Perhaps the warning is in error and your daughter is listed after all) Who is listed if anyone?
Do you have a daughter married normally that had a son? (even if she's younger, if she has a son, her line becomes precedent over an older daughter that has no sons) Did you end up remarrying your current liege to a woman matrilineally by mistake? (ie have a son not of your dynasty who is current heir?) Sorry we need a bit more info to make further guesses...