My goats eat a lot of wood, so not sure if I would use it, a goat might keep eating it, don't have any experience with using it, I think hay or straw would be better.
I use pine shavings for my goats and they don't eat it. I don't know about cedar because it can be toxic to some animals, but it would absorb odors a lot better than hay. It probably shouldn't be used with kids or lactating goats.
Cedar shavings smell awesome but they do tend to contain quite a few irritating oils which can irritate the respiratory tract of some animals. I would probably stick with pine (which we used with our goats for many years)
What about pine needles sprinkled with some diatomaceous earth? We have tons - and I mean tons! - of pine needles on our property, and we're wondering if it would make good winter bedding. We will be adopting 2 nigerian dwarf wethers soon, when they are 12 weeks old (our first experience with goats).