Sheep don't exist as a species in the wild, at least not for very long, so it seems silly to speak about how they behave and "govern" themselves, because they have almost no control of their long term behavior.
Seems like the "leader" elected from their collective is just a facade of self determination.
I don't know much about them or how their behavior differs from domestic flocks. But in the wild they do have social structures and they butt heads to challenge each other. Like most social mammals, leaders provide direction and protection.
When I say "sheep" above, I'm referring to domesticated sheep, as is this article, not their wild cousins which certainly have different behavior.
Neither do we...
The domesticated sheep that we know today are completely co-dependent on humans for survival. If we disappeared, they would all die. Maybe some would manage evolve back into some wild version.