Headflies nibble on at skin that's at all rough - old scars and scabs are favourite - until they make it bleed, then feed on it. They mostly don't lay eggs - although it does happen, particularly in broken horns - but their incessant nibbling drives the sheep to distraction, stopping them grazing and sometimes causing them to rub their heads causing further issues.
So a spray of Crovect on their heads is a very worthwhile precaution.