I think sheep will be your better choice.
Goats constantly try fences. They stand on them, push against them, etc. Sheep are much more likely to keep all their feet on the ground.
Goats love to jump on things. Cars, swing sets, barbecues, porches, chicken coops, anything they think will elevate them a bit and hold them is fair game. Sheep, again, love and obey gravity.
Goats can be noisy. Some breeds not so much, but overall sheep are quieter.
Goats can be pretty pushy, especially with your littles. Goats are designed to head butt and love to bump people. The can be trained not to, of course, but your little guys might have a problem with them. You don't want your children confined to the house unless you can be right on top of them to protect them from the goats, that's no way to live.
And as stated above, sheep are grazers. If you look at most areas where sheep are kept, it is green and clipped and pretty looking. Look at where goats are kept and it's often a barren wasteland.