I'm aware of the fact that Black Hayate is "just" a dog, but by now he's as part of the Roy family as any other of the guys. Fuery found him abandoned under the rain and brought him to the East City Headquarters. Asking around to find someone who could take care of the dog (because he lives in a dormitory and they aren't allowed), it was finally Roy's turn:

     

Roy: A dog, uh? I like dogs.
Fuery: You really do!?
Roy: What I like above all else is their sense of loyalty! They are absolutely obedient to the orders of their masters! No matter how harshly you treat them, they can't complain! Nor do they need salaries! Indeed! The servants of man! Dogs are great!! I love them!!

After this brief but intense psychotic burst, Fuery was too scared to even consider Roy as a possible owner. Needless to say, Roy enjoys fooling around from time to time, moments in which one must not take him seriously. In reality, Arakawa-sensei has herself stated that Roy is a dog person, an so it's a given that he greatly enjoys Black Hayate's presence in the team.

Moreover, Roy was the one who suggested to Fuery that Hawkeye would be a perfect owner for the dog. And it's clear there's no one who would've done a better job training and taking care of Hayate. Roy has also been spotted trying to feed Black Hayate while procrastinating taking a break from work. He also must be very grateful, since if it hadn't been for Hayate, Gluttony would've probably ended up eating Hawkeye while on surveillance mission. I'm sure Roy has quite a soft spot for little Buraha (Burakku + Hayate = Buraha).