Corrected entry: During the evacuation scene when Robert's family is being scanned for virus by the soldiers, nobody cares about the dog. This was before the total extermination and they came to know that it's airborne just then. They didn't have any reason to believe that dogs would be immune to the virus. The dog must have been scanned/tested like anybody else. (Neville finds that dogs are immune to airborne infection only later).
XIII
9th Jul 2013
Correction: But this wasn't day 1 of infection. There would have been evidence of canine infection prior to this day. So I would say YES, there was reason to believe that dogs were immune.
XIII