In this same letter, Seneca tells Lucilius that Plato wrote that because God is good, he has created the "best of all possible worlds." I have listened to and/or read all of the Socratic Dialogues, at least those whose attribution to Plato isn't in dispute. I've listened to and read many dialogues multiple times, and have not come across this statement. Of course, I could have missed it, or it could be in one of the many disputed dialogues.
Seneca's attribution points out a problem I first came across in Alasdair MacIntyre's writing, I believe in After Virtue, that when we talk about the Greeks, we're really talking about later interpretations, particularly the Scholastic interpretations, rather than the actual ideas of Plato or Aristotle. This passage from Seneca suggests that we may often be talking about ideas and concepts attributed to Plato et al erroneously.
I know I could have missed this statement, though I suspect it would have jumped out at me if I had come across it--so, if anyone knows where this statement is in Plato I'd love you to point it out to me.