Besides for as mentioned above where the mold growth is only on the ouside layer (usually from storing it on cement floors or wet ground, usually if it is moldy on the outside it is worse inside. When we buy round bales, I take a bat and give the bale a good whack. If a smoke like cloud comes from the bale it is a good indication it is way too moldy to feed - the smoke like cloud is key, dust will look like dust not smoke, with small bales you can drop them from 4' or higher and it does the same thing. I also work my arm into the middle of round bales to check for heat and moisture, and try to get a good handfull of the middle hay to inspect more closely.
We honestly don't buy many round bales anymore as there is just too much waste if a bale is bad and farmers here are willing to let us split open square bales to check the quality inside, additionally we just can't find really good quality hay in round bales. We buy hay from horse people or the older family farms that have good reputations for quality hay - I find they are just more careful about mold and moisture content of their hay than the large dairy farms.
The main concerns when they eat moldy hay are B vitamin deficency and respiratory issues from them inhaling the spores. I have heard Listeriosis and goat polio can be issues, however I think you would be needing to feed some pretty rancid wet hay for that to occur as it is more typical with silage than hay. Keep in mind all hay has mold spores in it - it is just how it works, your storage methods should reduce any issues and prohibit growth from occuring to the point where your animals will get sick from eating it. If you are buying quality hay and it keeps coming up moldy, it may be your storage methods and NOT the hay causing the issues.