I can't see it doing harm, unless you wanted to hatch some of the eggs. That could lead to issues, perhaps. But, why worry? There is nothing you can do about it, so worrying about what to do about it isn't going to get you anywhere.
While my grandfather did much the same thing, I do feel compelled to point out that their "wisdom" did lead to the near extinction of many birds of prey. We may not always appreciate our neighbors....
I am not a vet. However, that fox looks like it had mange, that is not what their tail is supposed to look like. I would take the picture (if not the fox) and your dog to the vet to see if any sort of treatment is called for in this case. We adopted a dog with mange many years ago, and the...