My dog has a small white bump on its eyelid. Should I be concerned?

This kind of lump/growth needs to be ideally assessed by your veterinarian to have a definitive and specific answer.
I would suggest to have it checked as it can rub against cornea and create discomfort and possibly corneal damage in the long run.
Usually there are two ways your vet can do that a part from examining it directly during physical examination. A biopsy can be taken under local or general anesthetic, otherwise a smaller sample through a fine needle can be aspirated (this technique is called FNA= fine needle aspiration).
Differentials include skin cysts, infections, inflammation of the eyelid glands, benign or more sinister type of tumors.
If just inflammatory, a medical treatment can be attempted to reduce its size.
Hope this answer was helpful, but please do not hesitate to contact us again on the forum or by requesting a consultation if you have any more questions or to discuss it any further.