do they? there are reports of lost sheep which when found had a very thick fur or whatever the shepherds call it

Sorry, when I said in nature, I meant undomesticated sheep.

Domesticated sheep that get lost for a while don't magically learn how to shed their coat, yes.

Pretty much all domesticated sheep will cast their fleeces.

There are some breeds that don't, and obviously due to random genetics you'll get individuals that don't.

Sheep that don't cast their fleeces are damn near impossible to shear and are mostly kept for meat. Likewise, sheep that don't have much of a "rise" (see my other comment) and are difficult to shear quite often, uh, don't have a particularly long career, as it were.

Man shearing this one is a pain in the a$$. Hand me the sticking knife ...

Well, not quite, but it's one you're going to cull out at the end of the year when it's time for them to go to market.

And of course, the only truly stockproof sheep enclosure is a deep freeze.