Well, i've recently bought ZT2CC and i found this scenario really challenging (you know, give a suitable exhibit to animals in a really short time) and you donĀ“t begin with any fence that can hold the rhino, so, what i did was, close the zoo, pause the game in the same moment i got the rhino, create a exhibit with any available fence (usually chain-link) and lower the terrain; also i put scrub biome terrain in the exhibit (use only grass and dirt option) and bingo. The rhino is completely happy.
But, that's how it worked for me, so, if you find this useful, let me know.
It works also with the other animals.