I raised pedigreed Saanens for about 5 years here in Texas and its plenty hot and humid. They did OK. But yes, the European breeds are alpine in origin, those breeds with upward pointing ears. I am sure they would like it cooler. The Boers, Nubians and Nigerians and other African breeds might do better in the heat. Myself, I prefer the looks of the Saanen, Toggenburg, the French and Swiss Alpine (Obrelhasi) . They are more deerlike. The roman-nosed hanging ear breeds, not so much. But those ears must shed more heat. There is also the high butterfat producing La Mancha that does not have any ears.
Yes, goats are the best escape artists you all have ever seen. All hole or gap under is exploited. They will jump up on people trucks and cars and poop all over them. They even climb trees.They are also vulnerable to predators like dogs and coyotes, much more so than cattle. People need supper good fences and oftentimes, livestock guarding dogs. But the personalities of goats are amazing. They are characters, no two alike.