As was already mentioned, horned goats and electric netting are not a good combination. Horned goats and sheep are not a good combination, either, unfortunately. Twice I've tried to keep a horned goat along with sheep, and both times had a sheep gored by the horned goat. (Just broke the skin on the belly, didn't penetrate any farther, but still!)
Another issue with keeping goats and sheep together is that goats require quite a bit of copper in their mineral, but copper is toxic to sheep in all but tiny amounts.
Also, rams can breed does, and bucks can breed ewes, but the fetuses will abort after a few weeks.
If you do decide to keep a few goats with your sheep (hand-feeding the goats their mineral several times a week), I would recommend getting goat kids and raising them with a few ewes and young lambs. Bottle-raise the goat kids, so if (when) they get loose they will be easy to catch. But keep them with the sheep, so they will be bonded to them, and not attack them.
As for shelter, yes and no. I live in a fairly dry climate, but with cold to very cold winters, and my goats have had almost no shelter over their heads for the last three winters. They have been fine -- but I make sure they have plenty of food, and carry
hot water to them in freezing weather. Summer rains shouldn't hurt them. Where you would probably need at least a minimal shelter in your climate would be in your winter pastures. I will be building a shed for mine this year, and I'm sure they'll be happier in bad weather!
Kathleen