Sorry this happened.
Right now the world is filled with @$$. That's why there's so many problems. We actually could have more people on the planet, but we've got the wrong kinds mostly; the bad ones.
Well I can talk you through what you can do...
For starters check your fencing and how the animal got in both on your property and in the coop. This is the important part. And secure those spots. Start with the coop first, but don't end there. You can easily wire it shut cheaply and tie things up. Even using a bag of zip ties will work to get started; but combine them with some kind of metal fencing, or panels or something.
How big is your property and theirs?
You could also technically put up some kind of motion sensors. Because the dog will likely come back if the cops don't take it away. Its had a taste of fresh meat and blood. Once they do that its hard to let it go.
You could right up electric fencing if your fence line isn't too big. Back in the day people din't spend tons of money on this. They'd make it themselves using car batteries. I remember going with a family member to see some farms and accidentally touching homemade electric fences. (The charge wasn't enough to do damage, just give a little kick.)
(Um, the electric fence thing I don't know what your local areas laws say or are about...so technically if some little kids walk into it and get zapped I'm worried about them going after you by sue happy parents that have been spoiled their whole life.) I'm just saying this is an option...
Well...if looting and rioting comes to your town like it is others, you might want this stuff up anyway. Maybe the dog incident will help you get ready for the mobs actually.
A cheap option also is to get your own dog, something that will guard fowl but not eat them. (But this costs money.)
You can also tie cans on strings and rig them up where you think they are getting in. (Noise makers). If they hang from a fence and something is shaking a fence from trying to squeeze under or over then they jingle, etc. (low cost, low risk).
I wouldn't do traps. Too easy to get sued if people fall or step in them.
Also beware of enmity. You can never underestimate how people will react. Try to not show them you are mad because this can cause it to escalate.
You could also try to find out if other neighbors bordering you and them have had problems with their dogs before. (The police ironically might not check this. I found this out when one of my brothers was being a dink, and they let him have like 3 DUI and nothing happened because of lawyer mongering 2 of them are DWIs...which is the same thing only a trick lawyer move to get out of shi-...stuff.)
You could also put up a nanny cam option by the coop, or in it. (This probably won't cost much...but you might need extra long cords depending on the distance etc. And I'd make sure the electrical plugs aren't over anything flammable.)
Bottom line, be careful. The dog has to come back. He's tasted fresh meat and hunting. There's no way he won't come back, but maybe not tonight or tomorrow night if you still have fowl. And number 2, you should be really extra polite to these neighbors and nice because when they have to give up Fluffy they will blame you for it, and be mad.
It's a horrible thing to have happened. You did the right thing getting the authorities involved; now you need to let them do their job. You will be able to re-evaluate and plan next steps when they've done whatever they are going to do. 
