Well yeah, he did seem to startle them, or at least he startled Little Jerry, in the middle of the song, too (I love the reaction Jerry made Little Jerry do when the goat did that... it was perfect!). Plus him startling them at the end. But you're right, it was very playful... like the goat just wanted to have some fun! He definitely seemed to mean well! 

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Sesame Street moving to Netflix
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So that's where he's at! Those poor little Happy Wandering piggies that encountered him!