It's not a lot of fun for sheep, especially heavily pregnant, outside in the cold and the wet.
Believe me - they will not go stir crazy! They will enjoy being able to relax inside on a nice dry bed instead of having to find somewhere to lie down that is out of the wind and not waterlogged.
Surprisingly, of my mixed bunch, the first ones to take advantage of being able to go inside are my Welsh Badger Faced and my Herdwick.