It means "I'm glad" "I'm relieved" "I got lucky"
"이해해서 다행이다" - "I'm glad you understand it" "I'm relieved you understand what i'm saying"
A : "어제 차 사고 날뻔 했는데, 안 났어" - "I almost got into an accident yesterday but it didn't happen"
B : "다행이다" - "It was a relief." "I got lucky"