The dogs may be expending more energy but they are not doing any more physics work which is net force times displacement. Similarly you would not be doing physics work if you are holding a heavy object without moving it, though it would certainly require physical effort on your part. The same if you pushed hard against a wall that doesn’t move.
Physical effort does not necessarily equal physics work. The energy expended is internal. Richard Feynman in his physics lectures explains it this way:
The fact that we have to generate effort to hold up a weight is simply due to to the design of striated muscle. What happens is when a nerve impulse reaches a muscle fiber, the fiber gives a little twitch and then relaxes, so that when we hold something up , enormous volleys of nerve impulses are coming in to the muscle, large numbers of twitches are maintaining the weight, while other fibers relax. When we hold a heavy weight we get tired, begin to shake, ...because the muscle is tired and not reacting fast enough.
UPDATE:
You may be following the discussions that @James and I have been having. In his answer he used an example of a dog exerting more force over the same distance and thereby doing more work. But my point is the dog can exert the same force on you and do less work. This is because it is you, and not the dog, that actually controls the amount of work the dog does.
Let's take his example but instead of varying the force the dog applies to you, you vary the distance you walk while the dog applies the same amount of force. You do this by pulling harder on the leash by planting your feet more firmly against the ground to keep the dog from pulling you along. In effect, you are increasing the static friction force between you and the ground to oppose to the force of the dog and slow you down.
Walk 100 meters with the dog exerting a force of 100 Newtons on you (work by dog =100,000 N.m).
Walk 50 meters with the dog exerting the same force of 100 Newtons on you (work by dog =50,000 N.m).
Walk 0 meters (stand still) with the dog exerting the same force of 100 Newtons on you (work by dog = 0 N.m)
Clearly the dog is making the same physical effort trying to pull you and will tire equally for each case, yet the work the dog does is not the same. In the third case no work at all is done by the dog.
Conclusion: The same physical effort by the dog does not necessarily equal the same physics work.
Hope this helps