I had a dog that did something like this once, only she was a little too rough and the kitten was too little, long story short the dog punctured the kittens lung and he drown in his own blood. This was cute though.
My dog used to carry kittens around like this. We tried to make him stop at first until we realized they weren't hurt. Occasionally other people who'd see him carrying a kitten around would be horrified.