Dense just means a lot of something crammed into a certain space. Food could be more or less calorie dense, protein dense, fat dense, nutrient dense. That would mean simply it has more of those per measure than some other foods. You could ask your Vet which of several possible ingredients she was specifically thinking of but unless the Vet stores all food ingredient percentages in her head how does she know the amounts of each in the food you are using anyway? Most of us would have to sit down and look them up and I bet the Vet does too. If the food Sophie is on is working well for her I wouldn't be looking for a change either.
For education on dog food ingredients I like The Dog Food Project
for it's explanation of what ingredients really are and how necessary or good or bad they are. I caution against sites that rate foods, I've found them to be biased and often out of date. Go right to the manufacturer's site for ingredients, there's just no beating learning and doing your own research.
LOL, I will somewhat contradict myself. I do rotate foods. So even though my food from the breeder is fine I decided to rotate in two others and vary the main protein and filler sources. I used the protein, fat and kcal/cup measures of my first food as a measure to find others with very close numbers.
Good luck, the food investigations nearly drove me whacky. Not something I ever thought I'd need to know about. I still have lots to learn, but I feel more condident about making my own decsions now.