You need to keep an eye on retained teeth because they can interfere with the correct alignment of permanent teeth, also trap food debris and be a site of gum infection and inflammation. If they can't move because the permanent tooth is down beside them you may need to have them extracted. What horrified me is people at shows suggesting that, when permanent teeth are only partway down, you let the dog play tug of war with a towel and jerk those baby teeth out, a judge even advised snapping them off like that. I happened to have a little container in my handbag, not removed after a trip to the vet, in which there was two temporary canine teeth from one of my shelties and these proved him wrong in saying the roots weren't very long. There is more in the gum than out of the gum with temporary (and permanent) canines.
We always had them removed by the vet if the both sets of canines were there. Here is what can go wrong with retained teeth. This is Toby's mouth and you can see the hole where his temporary canine had been, also how the permanent one had been pushed forward, thus not allowing the lower canine to come up through the gap where it should. The common term for that upper canine that is pushed forward like that is a lance canine. From memory we just applied gentle pressure every now and then to the top canine and his mouth ended up fine, but that doesn't always happen.