Are there cheeses with less saturated fat?
No, there aren't such cheeses. All cheeses are made from the same basic product - milk - and there are no changes to the fat happening in the cheesemaking process. Whatever ratio of saturated to unsaturated fats goes in, the same ratio goes out. 

There are cheeses made from milk of different animals, and they do have a different ratio of saturated to unsaturated fat: 


cow: 55% saturated 
sheep: 65% saturated 
goat: 65% saturated 


As you see, the difference is very small. Besides, the majority of cheeses you get in the West are made with cow's milk, which has the lowest saturation of the three. If this is too much for your dietary goals, then you don't have alternatives with less saturated fat.