Buggy Dog?
 

Is it just me or does the dog seem to be particularly prone to glitches?

The first time I tried to get the dog to start hunting for LeChuck's treasure chest in the Treasure Hunter zone, he jumped into the water and I never saw him again. I restarted the game and tried again and this time he showed up properly in the center of the crossroads.

And just now when I told him to get the scroll from the Thieves Den, he jumped in the water and.. I haven't seen him again.

I'd really like to not re-start again from my last save spot, but unless there's something I'm missing, I don't see as how I have many other options.

He's supposed to do that. You need to look harder for him. ;)

Are you sure you've looked in all the locations? He's in the treasure hunt area