It's actually really ****ing egregious at this point. This man's daughter was killed. Everyone close to Sara knows this besides her own father, who, by the way, actually even knew she was the Canary. Instead of somehow letting him know of her death, they've crafted a lie that she is still alive...a lie that seems to have gone on for months now.
It'd be one thing if one of them had simply lied to Lance, saying "Yeah she's around but can't talk". However, they're gone thru much greater lengths than that to lie to this man, even going as far as using magic voice-imitation technology to pass Laurel off as Sara on more than occasion. Lance sees the "Canary" on TV, furthering his believe that she's around, so does the team come clean? Nah, they go deeper with the lie. Also, it seems multiple members of Team Arrow have kept up the lie when talking to Lance.
It's something that should have been such a non-issue, but they've made it an issue (a very creepy, ****ed up one) so that Lance can have some conflict with the team and Laurel, as we're about to see. It's just stupid in every way, though.