When I was still with my parents, we had two dogs and two cats, and I had my hedgie, many mice, and a bird. Although I never left my hedgehog out of his cage alone with any other pets, I didn't kick my dogs or cats out of the room to play with him, clean his cage, ext. My cats were almost never in my basement, and my dogs were very well trained. But I don't think it was my dogs training that kept them from bothering Ppunk, I think Ppunk kept my dogs at bay himself! My hyper yellow Lab was almost afraid of him because she didn't like getting pricked in the nose, and ever since has kept a wide distance from him. My Australian Shepherd mix is interested in him, but also never gets too close. They're both rather intimidated by his huffing and puffing, despite their large size.
Now he stays in my boyfriends basement while I'm at school away from home. His Shih Tzu wouldn't even come down the stairs for a few days because he was so afraid of my hedgehog! He's happily lived here for a year now and every time he's out, his dog either goes upstairs or watches him carefully... from behind someone else.
That being said, every dog is different. My dogs and my boyfriend's dog are really just big babies. But I don't think either one would hesitate to go after one of my mice. You have to know your dog really well to make that decision, and even after you've made it, I wouldn't let them become best friends and trust them alone or anything.