This is perfectly normal, so don't be alarmed. Natural processed rovings and tops will always retain a sheep smell, although some breeds smell more than others (BFL being one of them and Shetland another). You will find commercially or hand dyed fibres will not have such a strong sheep smell, if at all.
Sheep smells dissipate when dyeing or felt making as you will use vinegar to set your process (some American spinners also use a hint of lemon juice too). After spinning you will use a PH Neutral detergent to set the yarn and this will also help.
You may find that the smell has been heightened during transit if it has been stored in plastic, to protect it from the elements. This will fade when you air the fibre and store it properly (plastic is only ever a short term measure).
Have a wonderful day... Sara x