I have a weather. He doesn't really pee on himself, but he will sometimes lick himself while he pees, and sometimes he will walk and pee. But he doesn't really get it all over, and he doesn't smell like urine.
A friend of mine used to have a horse (RIP) that lived with a goat. It had horns. They were playing, and she (the goat) managed to poke him in the eye & hurt him pretty badly. He already had some issues with that eye due to age, but after the horn incident, he ended up having the eye removed. They were still good friends after that though.
I now have 2 goats, and both are dehorned. While I have no issues with horned goats, I don't think I would feel comfortable having some that lived with my horses.
As far as tail chewing... I've never experienced it.