The hounds wouldn't be part of the dance. Just as the backing people don't have an active part of the dance.
The way I'm thinking of it, is the harlequins are constantly on the move, correct? The backstage people would have the choice to form families etc, as they are not the warriors (per se). Why would they not have 'pets'? They are not always at war, they travel between worlds performing the dances. Why would it seem so unfeasable that they don't bring animal companions with them?
Then, why would it seem so unfeasable that they don't utilise those animals at times of war? There would only be a handful of them...
Thats my take on it anyway...
EDIT
Awww, come on. They aren't that bad. I think they'd look quite adorable if they didn't have their teeth showing. A bit like a dog... Though I hate dogs...