I would worry about involving the police because, when the man was already pretty rude — about it being none of your business where they are — he might get even meaner if you bring in police. He has your dog. He can always say she ran away, or he lost her, and reimburse you for the value of a spayed female.
Not saying you shouldn’t call police, but that would worry me is all.
Some police departments would also make things worse. Do an initial inquiry, just enough to irritate the guy, and then they’d say there’s nothing they can do, you gave the guy the dog, it’s a civil dispute.
What I personally would do, I wouldn’t advise in print.
I agree on leaving the police out of it at this point. The police will ask how they came to have their dog, and when told that they gave it to them to watch, while knowing that they were going to be taking it out of town for the weekend, they will just walk away.