We undertake a systematic study of the approximation properties of the topological and measurable versions of the coarse boundary groupoid associated to a sequence of finite graphs of bounded degree. On the topological side, we prove that asymptotic coarse embeddability of the graph sequence into a Hilbert space is equivalent to the coarse boundary groupoid being topologically a-T-menable, thus answering a question by Rufus Willett. On the measure-theoretic side, we prove that measure-theoretic amenability and a-T-menability of the coarse boundary groupoid are related to hyperfiniteness and property almost-A resp. an version of "almost asymptotic embeddability into Hilbert space". These results can be directly applied to spaces of graphs coming from sofic approximations.