As long as they are moving, no dwarf will catch fire. Its one of the games quirks.
Apparently, being in/on a tile that is on fire gives anything combustible a small(?) chance of igniting every frame it remains. So yeah, if a creature keeps moving, it's unlikely it will catch fire (player-controlled elf adventurer with some Agility boosts = LEGENDARY FIRE-DANCER), but staying put means hoisin crispy dwarf.
I thought I had a different experience once... maybe he fell asleep in the middle of the fire that time (or more likely was unconcious).
Sleeping is basically the same as "Unconcious", but (semi-)voluntary. Of course, dwarves will still choose the most retarded place to take a nap (seemingly dozing off as soon as they become Tired), unless telepathically aware of an available bed (in which case they will path to it,
then sleep).
fortunately, will hopefully kill all of the dangerouse critters on the map for now.
You were right; the dwarves found some lovely smoked mountain goat out there. Then when Summer came around, a large band of rabid rhesus macaques came down from the hills in the northwest and attempted to murder everyone (they failed... orangutans with cutthroat razors would likely be another story).
[edit: Excellent! A wave of migrants, seven in total. Nothing too flashy, but at least the military has a new recruit, and there's a candidate for apprenticeship in masonry while the more qualified masons commit to more important tasks than making blocks. Oh, wait: another bush fire, and they were all running in the same direction as the fire, and burned to death. No more migrants, but shoes for all!]