I don't drink milk either, but heating raw milk is counter-intuitive and diminishes the benefits completely. When I was a kid, I milked goats and cows; we always ran the milk through a fine cheese cloth to catch the junk. The richness of raw milk is superior to pasturized milk. Pasturization is an entire scam -- the milk link that provided has good information on that.
As for Scandanavians, they probably drink pure raw milk, not the junk served in our stores.
Goat milk is better for digestion, but I don't like the taste. Goat whey is an excellent source for protein with many benefits.