These are what we call the 'YMMV items.' Things that some people find in this work. We call them 'your mileage might vary' because not everyone sees these things in the same way. This starts discussions in the trope lists, a thing we don't want. Please use the discussion page if you'd like to discuss any of these items.
The Japanese title literally translates to "An Adventure Revolving Around a Sheep" and doesn't refer to any particular idiom. The English title tweaks the translation to "A Wild Sheep Chase", making it a play on the saying "wild-goose chase".
All of the Sheep Man's dialogue is written without spaces in the English version to emphasize his quick speech. In this regard, his speech is perfectly normal in the Japanese version, which normally is written without spaces anyway.