you need to be careful with this stuff. There are two different things going on really.
1) taking the conjugate transpose of the equation
##U_{li} | \boldsymbol{e}_l' >##
Now here, ##|\boldsymbol{e}_l' >## is a vector, so something interesting does happen to it, and it becomes ##<\boldsymbol{e}_l' |## OK. And then what about ##U_{li}## is it a vector, or an operator, or just a scalar? And therefore what happens to it when you are taking the conjugate transpose of the equation?
2)Something different is the equation: ##U_{li}^{*}=U_{il}^{\dagger}## Here, they are defining the components of the operator ##\boldsymbol{U}^{\dagger}## in relation to the components of the operator ##\boldsymbol{U}## i.e. they are not actually taking the conjugate transpose of ##U_{il}##
It is important to keep the distinction between the actual operators themselves, and the components of the operator.