The show’s Dwight is obviously still a ways away from breaking off from Negan and seeking outside help, and he doesn’t seem to have any problem doing Negan’s bidding when it involves other minions or Daryl.
Sherry is clearly Dwight’s soft spot; if Negan presses too many times, Dwight could very well snap and give Rick and Co. an ally of sorts within the Saviors.
Comic Dwight was Negan’s henchman for a long time, but Negan’s habit of bragging about his ability to take Sherry whenever and wherever he wanted finally pushed Dwight over the edge, at which point he departed from the Sanctuary to build up relationships elsewhere.