What breed?
If he had serious pneumonia when quite young he may well have scarring etc in his lungs, not much you can do about it, but if you know, your management and expectations of him may well change. The vet could check his lungs, and maybe also you want to get some blood tests done - is he deficient in anything (like Copper for example). The young ones often don't take to the licks easily. I would in the first instance give him a mineral/vitamin drench with Copper (a sheep one will do), even if the blood copper levels are fine.
How does he cope with the cold? One of my wethers is not that great in the cold and we have put two rugs/coats on him and during the night we put a heat pad into the straw in his favoured sleeping corner. they normally cope better if they have a pen mate or two and as long as you make sure they are not bullied by anyone. Our boys still get a bottle of warm milk at 10pm every night - they love it.
I have no idea about Cushings whatsoever...