If sheep are left in snow without wool, they should have a chance of freezing to death. If torches are placed around an enclosure and snow can't collect in it, the sheep won't freeze.
Pigs are lardasses and have natural defenses against the cold, such as being lardasses and using that unique lardassity to keep warm, but if you don't think they have enough lard in their asses to throw the lardascopic meters off the charts, then they can freeze too.
Also, sheep used to eat grass and grow back their wool in the old, old versions of survival. I'd love to see this again.