He does this because, due to the time of year when he was born, and fate he has had to grow up alone. Until he gets some size on him, he is too small to be out with the big bucks and older bucklings.
So in the evenings he goes out to the back doeling pasture with Terlingua the "turd" (see this post for why we call her the turd). She is the smallest of our doelings born earlier this year. She is very gentle with him as he runs and plays. She is slowly showing him the ways of being a goat.
When it draws near sunset Michelle walks him back to his indoor pen and some nice milk. He does not know it yet, and when he discovers that he is not a puppy, he will be sorely disappointed.