I am SO jealous. First, Thor would never run in a straight line beside me, and second, he thinks rollar blades are work of the doggie devil.
I think it is great exercise for him, and you could probably even let him go longer than five minutes if he can. Dogs LOVE to run together, I am sure it is very bonding for the two of you. He probably thinks you are rollarblading around, looking for prey.
I think if he starts noticibly bulking up, you should stop. It's unlikely to happen, but you don't want the "yorkie on roids" look.