I don't know anything about the Shetland Isles (yet - trip planned one year soon...) but we visited farms in the Orkneys last back end. We were shown the transport for cattle to get them (and big strong beasts they produce up there too) to Aberdeen on the ferry. I think I remember it is a 7 hour trip and special accommodation is required so that the beasts can be regarded as 'resting' rather than 'in transit' - otherwise the shipment would fall foul of welfare rules on length of journey without a rest break. So the purpose-built containers put the cattle in individual stalls with water and hay. Transport to the mainland is subsidised by the government and would be prohibitively expensive otherwise. I think they said something like £700 per trip but I may be remembering that wrong, and / or it maybe included an amount to contribute to paying for the shipping containers.
All of which basically meant that Orkney sheep are not generally transported to the mainland alive. Whether breeding stock of, eg, North Ronaldsays, would be ferried over, and if so how much it would cost and how the transport welfare would be managed we didn't find out. Maybe it is feasible to carry a few sheep in a livestock trailer on one of the Wick car ferries - which would be a shorter crossing and therefore not necessitate a rest break.
Shetland is very much much further out, that much I do know. So I would be interested to know how transport of livestock to the mainland is managed.