Here is a quotation from Alex Sachare, 100 Greatest Basketball Moments of All Time (1997) that should give a pretty clear idea of how dagger was initially used in the context of basketball and why it is an apt term:
In Chicago and especially in Cleveland, it is simply known as "The Shot." To fans of the Cleveland Cavaliers, it might also be called the dagger, as in dagger through the heart.
But Michael Jordan had other ideas. With time winding down Cleveland clung to a one-point lead but Chicago had the ball out of bounds in the frontcourt. Jordan took the inbounds pass deep on the right side and dribbled to his left, into the circle just above the foul line. Guard Craig Ehlo, one of Cleveland's top defenders, shadowed Jordan on the play and leaped high with his arm outstretched as Jordan went up for the 17-foot straightaway jumper. Jordan hung in the air long enough to let Ehlo sail by, then ...
Jordan hit the shot to win the series, which was indeed a dagger in the heart of the Cavs' championship aspirations, since it ended their season. (Wikipedia has an entire article devoted to "the Shot," if you're interested.)
Usage of the term dagger for any long-distance shot (as in the OP's quotation about Steph Curry) is a bit hyperbolic, given that the classic dagger is a climactic event, not something that happens multiple times in one game. But in recent years the term has come to be used to refer to a long-range shot that discourages the opposing team or kills their confidence. The Golden State Warriors' radio play-by-play man, Tim Roy, by the way, uses the term dagger much as the commentators quoted by the OP do: for a lethal, momentum-killing shot. Presumably the fact that a dagger can be thrust by hand or thrown some distance with lethal effect makes it a suitable metaphor for a killing three-point shot.
Update (May 18, 2021): A basketball shot as a 'dagger' from 1985
One early instance in which the metaphor of a dagger appears in connection with a game-winning basketball shot appears in ":02 ... :01 ... Swish: Celtics Even Up NBA Final Series," in the Santa Cruz (California) Sentinel (June 6, 1985):
When Bird passed back to [Dennis] Johnson, he [Johnson] said, "I saw Byron (Scott) and Kareem (Abdul-Jabbar) coming and figured I'd make the shot a little higher. It felt good. I figured it had a 50-50 chance of going in."
"My only thought was just to watch the spin on the ball and see if it went in," Boston Coach K.C. Jones said. "I was just like everybody else in the place."
"We're feeling the dagger a little bit now, but we've got to come back strong Friday night," Lakers Coach Pat Riley said, referring to Game 5, the last game of the best-of-seven to be played at the Inglewood Forum.
Johnson's 22-foot shot went through the net with no time remaining on the clock and abruptly ended what had been a tie game. Pat Riley's remark about "feeling the dagger" is apt, but it suggests that referring to a critical shot itself as a "dagger" was not yet commonplace in the sport. It is not impossible that sportswriters, broadcasters, or others picked up on Riley's comment and popularized the term from there; but it is more likely that the term arose independently of this episode. (In any event, Riley's faith in his team's ability to come back from the loss was well placed: the Lakers won the next two games—and the 1985 NBA championship.)