No, the Blues do have a choice, and the choice consists of finding other assets to use before jumping to one of the most valuable pieces the Blues have.
Dunn is currently the best LHD on the team, and without him, the left side looks well below average. Even if people pin their hopes on one of Mikkola or Perunovich to replace Dunn, assuming that will happen within the next two - three years is still more blind optimism than anything. So for a team that has aspirations to be cup contenders within the next four - five years, hampering the left side with questions marks surely makes that window much less open than it should be.
But even if I were to buy into the notion that an incentive piece needs to be attached to Allen, which I don't, jumping to Dunn as that incentive is a massive overpayment. Allen has ONE year on his contract. ONE! Meaning the risk any team who takes Allen's contract is practically nothing for the long term. So if there is hardly any risk, why should the Blues overcompensate massively for the other team to take the contract? Look at a team like Detroit. They have Jimmy Howard coming off the books and aren't in a great position to make a playoff run next year. Even worse, it looks like many of their top goaltending prospects are a few years away. So why not sell Allen to them? Ask for something small, because honestly the return doesn't matter, and if they ask for incentive, add small pieces like picks or bottom-6 forwards, i.e. something the Blues have an abundance of/no need of right now. That way, Allen is off the books and Detroit can see if Allen or the piece they got with him could be a solid contributor for the team now and beyond. If Detroit doesn't strike your fancy, well then find another team and switch Allen around with Steen or Bozak to match the need.
The reason I find the premise of Dunn being used as an incentive so dumb is that it conflicts with the very goal of the trade to begin with. The Blues should make a trade to clear space for Pietrangelo, that's it. The value acquired from the trade should lean towards the cap space gained because that's why the trade occurred in the first place. If the only asset acquired from the other team ends up being a 2030 7th rounder, so be it. If that's the price of Allen/Steen/Bozak right now, then I'm cool with that because now the Blues have more cap space to work with. Trading Allen/Steen/Bozak WITH Dunn has changed the focus to now acquiring value from the trade in terms of assets. In this scenario, the Blues are now looking for the best deal they can make with the bonus that it gets rid of Allen/Steen/Bozak's contract. The issue is that adding these contracts onto Dunn only weaken Dunn's value, so the Blues end of not getting a full return only to pin their hopes on whatever the future assets they acquire to shore up the hole that was left behind. And as stated, Dunn is the best LHD on the team with very little behind him that can offset his loss, internally, at this moment. If the Blues were rebuilding, then it's not the worst idea to accumulate the most assets they can and to streamline their cap situation. But for a Stanley Cup contending team, it sure seems like a terrible idea to me.
TL;DR, Pinning Dunn to these contracts to clear up cap space goes against the very purpose of the trade itself and only weakens the Blues as a result. To me, it's the equivalent of having a man try to get someone to take his old couch that he has no room for by throwing in the keys to his sports car as a bargaining chip.