Welcome to the Forum!
The best place on HOW to tow is REMCO INDUSTRIES.
As for the tow dolly - the key to your answer - does the platform supporting your tires rotate to follow the TV or is it a rigid, fixed position on the dolly?
If the dolly platform rotates, the Pilot front steering should remain locked, and the key in the locked / Park position. The dolly will turn going around corners.
If the dolly platform is fixed, the Pilot steering must NOT be locked, as the Pilot will need to steer going around corners. Normally, the TRANSMISSION stays in Park, but the key must be in OFF or ACC to unlock the steering column. This often requires leaving the key in the ignition. Have a "spare" key made that is NOT programmed to the car. Without the chip programmed, the key will unlock doors and turn the ignition switch, but will NOT start the car.
Some newer cars no longer have steering locks, so they will be different.
ALWAYS CHECK YOUR OWNER'S MANUAL towing section for the final word.