It is highly unlikely that Lassy could write, let alone that "she" would take the time to sit and compose a letter of alarm. It much more probable that she barked her head off and ran around in frantic circles!
What about our friend "Rin Tin Tin"? Did he use creative methods to get assistance? Possibly he peed the letters S.O.S. in a clearly visible golden trail?
I prefer the loud announcement of danger from the proud vocal chords of my dear companions! I only hope that my trusty pooches will save the possessions or maybe even the lives of our neighbors someday! In the meantime, exercise,discipline, and affection as my friend Cesar Milan says!