I do not have a tow dolly, I have a tow bar. It has a coupler like your tow dolly and hitches to a ball on a receiver on the MH. In my case the nut on the bolt end of the ball came loose and after a few hundred miles, the ball fell out of the receiver.
I had on the safety chains and did not lose the car, but I did have to stop the car with the MH. All in all, not a horrible problem other than the $1,000.00 plus costs and a new pair of underwear! The same is one possibility on tow dolly.
Another potential problem on some dolly/toad combinations, is sharp turns causing the wheels on the dolly to impact the side of the toad. This is not true with all dollys, I do not know about yours.
2005 Safari Cheetah 38PDQ - 2009 Ford Flex
Me (Gatogonow), The Boss (DW), Honey Bunny, Maggie May and Mollie Kay (The Gatos)!