It also matters what you are breeding for. If it's meat sheep, frankly a little bit of inbreeding shouldn't make any difference. if it's pedigree gimmers to sell, it matters a lot!
We have used our Shetland tup, Nigel Ever Ready Golden Balls, 5 times now, and he is on his daughters now of course. No issues at all for sheep to eat, or even to keep on as fleece sheep, but we wouldn't keep ewe lambs who are both his daughter and granddaughter on for replacement breeding ewes.
(We're only breeding for ourselves, and all the ewes who are not related to Nigel, and therefore whose daughters we might keep on for breeders, have at least one other breed in them, so the genetics of our father-daughter pairings carry a lot of heterogeneity, much more than you would get if inbreeding pure bred sheep.)