I have a pet shetland castrated tup called Bertie. pet sheep are completely different to your usual sheep. To be honest, they can be a pain sometimes. Bertie is an escape artist. He tries to go out the gate as you come in, if there is the slightest gap in the fence he will get under or over it. He follows you round the field wanting a fuss. He thinks every bit of food is for him, and has been known to tip the rabbit runs and chicken pens over to get at bits of feed.
On the plus side, having a pet sheep makes it easier to treat them if they are ill, clip their feet, shear them etc. They just stand there!!
I agree there are things that can go wrong with sheep, and any sheep illness or loss is not nice, but seems worse when it is a pet. So do think about that - how upset you would be if, heaven forbid something happened.
Copper can be an issue. I have to watch Bertie does not eat the goats feed as that has copper in. Keep him away from the neighbours garden because of any poisonous bushes etc. Fly strike and the maggots can be a problem, they do get prone to foot problems, and you may have problems getting someone out to shear just a couple of sheep. They do eat the field down until you could play bowls on it, so you do need another well fenced area to put them in while it rests.
Oh yes, and dogs. I have a footpath down a track next to my field, and am constantly worrying about dogs off their leads, so try and make sure the fences are as high as you can, both to stop the dog, and keep the sheep in!!