Well after breaking down the two separate exercises several times over, going back through all the initial training steps to see if we missed anything several times and finding nothing...
One thing I tried was using toys instead of a dumbbell. I used a ball, I used various dumbbell shaped toys - a rope toy, a rubber dumbbell toy, a rawhide. None of that was a problem for her - she would gladly carry them over the a-frame. It always fell apart at the point of putting the two exercises together.
So one day I went out to the training field and (after warming up, doing some retrieves on the flat, doing some jumping and retrieves over the jumps, doing some a-frame) I sat her next to me, I threw the dumbbell, I sent her for it. She went over the a-frame, she picked up the dumbbell, she came back to the a-frame and sat at the base of it holding the dumbbell.
I walked up behind her, standing immediately behind her with my feet veed bracing her hind legs. I petted her and gently picked up her front end and placed her front feet on the a-frame. I petted her and braced her until I felt her shift her weight forward into the a-frame and I let go with my hands, but kept my body there to brace her. She didn't move, but she was still holding the dumbbell.
I picked her up again, placing her front feet higher and placing her back feet on the a-frame. Again, I continued to brace her until I again felt her shift her weight. This time when I took my hand off her, she flew up the a-frame, down the other side, came around and executed a beautiful sit front. And she was still holding the dumbbell.
She never again had any problems with the finished exercise.