I am afraid goats being goats, do what they want, and if they want to lie there in the sun, they will do!!! I worry about my white goats (and my white cats) the sun burns their noses and ears. Although with this really hot weather, most of the goats are sensible and go in the shelter.
Today, I noticed the big billy panting, and also the kids and Jasmine. I know you will give Margo plenty of water, thats the important thing.
Dogs pant when they are hot, don't they. So, I assume goats doing the same, is their way of coping. I have seen plenty of my goats panting in the heat over the years, but thats it, not caused them any other symtoms. I suppose if they did get very hot, they could get sun stroke like a human. Their coats do protect them some way I suppose.l
If Margo was that hot, she could get up and go indoors - I am sure you give her the choice. You could always fan her with a large rhubarb leaf or something?