Fire is always a fear, but day to day ease in a pretty rainy climate is a factor in having at least a working supply of hay in the main barn. A compromise would be to bring a few days' worth at a time in from another storage barn. I'd like to have the wall around the hay be a concrete firewall.
Another reason why the outside exits from each stall are vital.
Here's another idea as long as we're dreaming - I used to ride at a barn that had a covered riding arena connected to the barn by a covered walkway. It was GREAT - didn't matter if it rained or snowed, plenty of lights mounted in the roof so you could ride all night if you had a mind to. The standard covered arena around here is a metal frame building without the skin. Sorta like this, without the barrels!
Instead of the fence sections, my old barn had a wooden wall built up about to the height of your shoulder when you were on horseback. Stopped drafts and rain blowing in.