Glad you've finally brought in Hermione. You've been saying you would all along, so I don't see why anyone should be complaining about this.
I'm not sure what I think of changing Hermione's backstory to the point of making her an orphan, but this does mean that Harry will have somebody who understands very well some essential experiences in his life--in a sense, this gives Hermione some of the ability to reach Harry that Luna has in canon. And it surely does give you a way out of the difficult issue of convincing her parents.
I like what Christopher and Michael did at the Dursley house--it's an effective and appropriate revenge, much better than simply killing them. Who knows, Dudley could even be scared enough to wisen up and turn out a decent human being, or at least a better man than his father.
You're doing nicely here, all in all, but the one thing I'd really say is that you need to take some more chances to _show_ us the threesome's feelings for each other; you've _told_ us plenty, but so much of your action has centred on the adults and their doings that the facts of the bond have become largely something that we _know_, rather than something that we _feel_.
I don't mean that you need to change any of your overall plot, and I certainly don't mean that your adult characters should have less screen time than they've had, but you'd do well to give us more scenes where Harry and Daphne and Hermione are either alone together or are engrossed in each other to the exclusion of whatever their parents and/or aunt and uncle are doing. This would do the same job as your paragraph telling us about how their bond settles over the next few days, but it would increase the emotional impact of the fic and your audience's belief in and feelings for your characters.
I'm not trying to write your fic for you, as I've too many of my own to write already, but I'll give you a few examples of the sort of scenes you could write to give us this visceral understanding:
-Hermione's complex mixture of surprise, delight, shock and/or terror at finding out on the first night that she has to sleep with Harry and Daphne, and how they comfort and reassure her.
-Bathing. Do they bathe together or separately? If separately, you can show us the discomfort of even a brief separation, and how quickly they hurry to get done so they can be back together. On the other hand, if they bathe together, there's all sorts of possibilities. Not for the sort of sexuality that's neither appropriate or believable for children of ten and eleven, mind, but for fear, curiosity, resolute attempts to _not look_, and awkward tenderness as they scrub each others' backs or wash each others' hair.
-Daphne and Hermione brush and plait each other's hair and teach Harry to do for them. All kinds of possibilities here, as with dresses that have zips or ties in the back.
-The threesome play (physical games like tag or hide and go seek, card games like exploding snap, or board games) or read books together. You've all sorts of opportunity for comedy when they realise how hard it is to hide or keep secrets from each other, even in play. It's good to remind your audience that they are still children, despite their bond.
-Shopping trips are a bit of a cliché in fanfic right now, because of all the fics where some responsible adult gets Harry decently kitted out, but taking Hermione on a shopping trip would be a new wrinkle. The children's interaction could be interesting, as could others' reactions to them. You could have Daphne teasing Harry and Hermione about how he should help them pick out underwear, or show us a shopclerk's surprise at how interested Harry is in getting Hermione the right clothes.
Please don't take this as a flame--I really do like what you're doing here, and I'm looking forward to reading more of this story.
The next chapter is over Christmas, I can probably fill it with child fluff of the sort you've detailed. Thanks for the advice; I relish it from fellow authors.