Question and female dogs.

Yes they do. Some will break it on their own while coming of age during physical activities like play or running but not all of them. Some females have noticable hymens that will not break until their first breeding. I have even heard of a couple of cases of a "stubborn" hymen in female dogs.
Yea, the first time I played with my boxer during her heat it broke, I was worried I had hurt her, but she gave no signs of pain and was definitely still horny 💕