I have watched Jackdaws plucking wool from my Shetlands in nesting season, although I thought they just had twig nests (that was all that seemed to come out of our chimney anyway).
If the sheep are not worried then there is no problem. If the crows are pecking at them then I would suspect fly strike and that they are eating the maggots. I saw somewhere that a certain type of parrot in NZ goes straight for the kidneys of live sheep, through their backs, yeuch - but British crows don't