I would check with the auction company, but my assumption would be that if I sold ewe lambs without qualification in a breeding sale, then I would be effectively warranting them fit to breed and would expect to pay compensation - as stipulated in the auction house's terms of sale - should any transpire to be already in lamb.
However, lambs sold in the store are sold as suitable for running on for fattening, so it's a different situation. It is horrid, I know, for abattoir workers to find unborn lambs inside a hogg they've just slaughtered, and some abattoirs will penalise the farmer heavily for sending them in.
So I do think the buyer has a right to be upset - depending on the terms of sale - but would be guided by the auction company in terms of any compensation.