Electric shocks that were damaging would defeat the purpose of the experiment. It required a comparison between dogs that had some control over the shocks and those that didn't (though both received exactly the same shocks). If both dogs were harmed, it would be harder to differentiate the harm due to the randomness.
Of course you may doubt their reporting of their own experiments. We only have their word for it that they conducted the experiments at all.
According to whom?