In my limited understanding of how it goes in porn games, each species usually follows a stereotype.
Sheep anthros are usually seen as meek and soft and that makes them stand out as caring, innocent and affectionate beings. Their fluffy wool makes them cushy and cuddly, which are traits usually associated with comfort. A spa is supposed to be a place of relaxation and comfort, like being wrapped in a warm, fluffy cloud (like wool).
In reality, a sheep's wool is rarely clean so you wouldn't want to touch it all that much. Different species have different types of wool, some softer than others. Some people actually dislike touching them, saying it's icky. The wool on a sheep has a different feel to it from the wool of your clothes; it has been cleaned and treated to be worn.
But this is videogame logic.
DISCLAIMER: I haven't played the new version yet. I'm just making assumptions on what was Inno's logic for choosing a sheep.