Danielle is an undercover operator, a facilitator. The Lost faction trusts her even though she appears to be insane. Because she is insane, they don't particularly want her to join the group. She comes and goes as she pleases. Interesting when she shows up - the Lost faction needs a thing , they've become complacent and need a little ratcheting, she brings them an Other - then she is just as quickly gone.
If her story were true - that the Others took Alex, she'd have kept Henry for herself and tortured him until he said what she wanted to hear or took her to Alex. She was adamant that he would lie but how would she know that? In her first appearance, she told Sayid she'd not seen the Others, just heard whispering in the woods.
What has happened to the Lost people that the Others took first - the so called "good ones", especially the children? Perhaps they took the children and the ones that wouldn't make good rats in their maze. All of the ones left have factors from their past the Others can use to jerk them around. Consider the people that sat in the observation unit Locke found where the reports were put in a tube and sent into an empty field. The observers thought they were watching and reporting on a test group not realizing they were at least a test group themselves.