Some sheep do wag their tails or in my 'Herdys' case her 'stumpy tail' especially when I rub under her chin/ears and scratch her back. She nearly 'comatose' with delight at the gently rub, come up and asks 'with a wag of her tail' to be fussed with. she had twin lambs this year - one ram lamb, in-dependant little *od who doesn't like to be touch but the little ewe lamb does the same as her mum and 'wags' her tail when having her chin rubbed. I run my hand down her front legs so she will get used to me picking them up when I will need to trim them later on. She also likes her back gently scratched like her mum.
None of my other girls do it.