Couldn't find the actual study so all I can do is speculate. Psychopaths tend to be aware of their own lack of empathy, and a lot of them struggle with the idea of being "normal". If a situation "seems" like they should show empathy like showing care or crying for another person, they will overly do it to the point where it's not natural in the hopes of disguising themselves as "normal". I'm assuming this test exposes this type of charade. The Psychopath chooses the dog because they want to appear to the other person as very "caring" and "empathetic" because they might feel the other choices might expose their lack of empathy, when in reality it's actually a very unnatural thing to do under the context of the test. Another example is if in a story, you see a child losing a loved one. Of course, it's an extremely sad moment, and you would respond appropriately, some Psychopaths tend to overly show their "sadness" by claiming they are so sad and that this moment had them "bawling", it's not a natural reaction but a forced one.