Should was probably the wrong word.
But it's right at the beginning so I can quote "...she saw the servant's daemon (a dog, like almost all servants' daemons)..." and "He was a servant, so she was a dog; but a superior servant, so a superior dog."
That could just be Lyra's view though, since she's meant to be quite unwordly in some ways (and also blonde, which made me mentally adjust!).
The whole daemon concept is really interesting. DP thinks that if your daemon is the same sex as you that means you're gay, but I'm not sure. I know later on a character says he never imagined having a part of him that was so beautiful and feminine (or something) until he saw her, but we don't really hear much about the pastry chef (I think it is) with the male daemon.