Like the grease in your hair, it’s there to lubricate and condition the hair (kemp) and undercoat, thereby keeping it soft, smooth, and damage-free.
Unlike us, the sheep does not strip off its natural moisturiser with harsh soaps and shampoos, and therefore does not suffer from frizz, fly-aways and split ends, therefore (again unlike us) they don’t need to re-grease their hair with oily conditioners, masks and serums and styling products, which often contain lanolin (or a near-identical chemical) as the moisturising agent.
However, some sheep do get the full salon treatment for shows:
Because they’re worth it.