OK, gotcha! Well, in my experience, they do holler if they see a predator. They also tend to run straight towards predators - I've seen them rush over to try to get a closer look at a coyote and a bobcat. They're so nosy!! I'm not completely sure they will holler about a fox, someone else might be able to give you more info on that.
So you're right, they are likely to let you know if something is around. But just to make sure you know, they won't actually do anything about the predator, and in fact they are in danger from some predators. Most peapeople here seem to depend on dogs for predator protection. Sounds like your pooch is a rather relaxed fellow!
Based on my own experience, I'd recommend you get a trail camera to see exactly how those foxes are getting in and try to do some fox-proofing.
But, regardless of the fox situation, you will be so happy with your new pea friends!
As far as free ranging goes, this depends on what kind of neighbors you have, how close to busy roads you are, etc. They can really roam and they are very curious.
