a) Is this normal? I understand she will likely look for security in the wake of her father's death and I represent years of love and stability (to a degree). Should I be wary?
b) What might the pitfalls be?
I can only speak from my experience. When my wife's father's health deteriorated to the point that it was clear he hadn't much time left my wife started to transfer her feelings about him onto me. Not the good ones, where she loved and idolized him. It was the bad ones, where he emotionally, physically, and sexually abused her. As he got closer to death this transference also increased.
So what are the pitfalls? In my case they are obvious. I am now mostly split black as the source of all of my wife's fears and anxieties. When something happens, no matter what, I am the obvious culprit. I am not to be trusted in any capacity, except of course to provide for her. And even there I am mostly treated with disdain.
In your case I don't know what will happen. Perhaps you have some knowledge about the relationship between your wife and her father that could shed light onto the situation. The only thing I know is that your wife's BPD behaviors most likely have their source in her childhood. Things happened back then to make her the way she is today. My experience with all of my pwBPD's was that their father was always involved.