They need to have some protein to replace that which is in the milk as you wean them. The normal way of providing it is through creep - a highly palatable high protein cake - and then a grower ration (slightly lower protein and a lot cheaper.) If you offer creep while they're on milk it helps to literally wean them off the milk - as you increase the length of time between milk feeds, they use creep to fill the gap, and then increasingly have no room for / don't need the milk.
A lot of people run their pet lambs on scrubby ground with not much good grass, so they need cake throughout.
If you have very good grass with a high protein content, and can spare it for them, and they do well for you on that, well then you are lucky, I think! We do expect to keep caking our pets unless it's a really good summer and we have some good grass we can make available to them. Even then, we would reintroduce cake at the backend - just 1/2lb per head per day, but enough to keep the flesh on them when there's not much in the grass.
They do seem to need more cake than their naturally suckled peers. And still take longer to achieve fat weight and condition.