It doesn't sound like a dairy intolerance if he can take cheese, cream and milk. My DS2 had a suspected dairy intolerance as he would also get a rash around his mouth and vomit. He did grow out of it.
Perhaps it's just too rich, maybe try a plain yoghurt. I know they say that babies yoghurt are a gimmick, I tried my kids on these first before regular yoghurts. Could be worth a try.
If he is happy enough to have goats milk yoghurt you could just hold off on other yoghurts until he is a bit older and try again.