I have tamed and sitting wolves in multiple places (tamed to me, my BF and I share a world and I checked that first). We've had hostile mobs (zombies) spawn five blocks in front of them, unobstructed view, and the wolf sits there while their player gets hit. If they're standing they'll respond, but while sitting they're statues.
Environment
Windows 10, updated Java versions
Most likely intentional per the fix of MC-696 (which describes dogs, cats and parrots getting up when the player is attacked).