Domesticated sheep that get lost for a while don't magically learn how to shed their coat, yes.
There are some breeds that don't, and obviously due to random genetics you'll get individuals that don't.
Sheep that don't cast their fleeces are damn near impossible to shear and are mostly kept for meat. Likewise, sheep that don't have much of a "rise" (see my other comment) and are difficult to shear quite often, uh, don't have a particularly long career, as it were.