Hey' it's a Lego robot dog.
It's! A! ROBOT! DOG!
The Lego corporation aren't really big on giving you the context of their playsets anywhere on the box. Sure you get a picture that seems to imply a story, but no details on the backstory... I guess that means it's up to you to figure it out.
So here's my guess.
The Space Police are actually the iron hand of a corrupt police state who unfairly target space aliens out of an unjustified xenophobia. As part of their efforts, they've programmed a robot attack dog to carry out their persecution.
Not so adorable now, is it?