Sheep may contract Sheep Pox from:

Being underfed/starving (evidence requested)
Slaughter of nearby sheep with Pox (confirmed)
Randomly (2 adjacent pens, but only 1 has pox - highly unlinkely 2nd was just outside radius of nearby slaughter)

Treatment

Once Advanced Animal Husbandry has been researched, give the sheep Sheep Supplement
Salvage the pen causing the sheep to spill out into the world like wild sheep. They are now pox free.* Rebuild your pen and place them inside.
Make sure any other pens are empty by herding the sheep out of the other pens. Then kill all your poxed sheep in their pen.

- This will spread pox to nearby pens, but since you have none, this isn't a problem. Do not do this if your neighbors are very close. Please report back here what distance was safe.
- Be cautious with Option 3 because if your neighbors catch it, they will not be happy.