doesn't lui mean him?
As an indirect object, it translates to both "him" and "her".
Would en work in place of le here? Nous venons en de lui dire
I've always expected de + le = du
nous venons de dire is in the recent past form "venir + de + infinitive" = "just + infinitive" - in this case just told. However, we also have a COI "her"(lui) and COD "it" (le) → Nous venons de le lui dire.
I wrote "raconter" instead of "dire" but it wasn't accepted. Should it have been?
I don't think it suits this sentence, but that doesn't mean it is wrong. Perhaps you can judge for yourself here:
Bon courage !
I would say, why not? So I added variants with "raconter".