Help please! Need advice!

I know this is typically irrelevant to the many baby related posts but I am a pregnant mom in need of some advice!

So I'm 25 weeks pregnant with my second child and my 5 year old came home from school with a note saying during a routine hair check they found nits that I should treat it immediately well of course being all freaked out as to what to do because it's the first time experiencing this I went to ulta and purchased the "fairy tales survival kit" which according to reviews and such it was great so I get home and follow the instructions on what to do and comb through my daughter's hair (dirty blonde but VERY thin) and found absolutely nothing. Not even a speck of anything in her hair let alone on the comb. So I still went ahead and soaked her head up in the spray, put it in a bun and she's fast asleep with it covered by a shower cap just in case. My thing is, if I found nothing could they have mistaken? This is the first I've been told about them even doing checks not to mention they just wrote me a note which typically schools call you to let you know. I'm considering still going through the whole process but it's not so easy with a 5 year old.

Question is how worried should I be? Should I expect it as lice or maybe something else?