My thoughts would be that you are not doing any selection on the sheep. Therefore the sheep are still undergoing natural selection.
Hmmmm... thought about that. Maybe you are doing artificial selection on the sheep too. That is, without any intervention can we safely assume that the wolves would indeed hunt some of the sheep? If so, then you are artificially removing this selective pressure and therefore causing some amount of artificial selection onto the sheep.
As a counter example, we can look at ants and colonies of ants who take honeydew from aphids:
[Symbiotic relationships between ants and aphids] - PubMed
Ant behavior towards aphids spans the gamut from straight foraging to actually protecting aphids. When ants protect aphids from their natural predators, is this "artificial" selection? I think most people would describe it as natural selection.
Overall, I think we are getting hung up on the details of the analogy. More than anything, Darwin was looking for a way to communicate his ideas with his readers. One really good way of doing this is to use an analogy where you can say, "It appears that you all accept the idea that Mechanism A occurs here. Well, I am saying that Mechanism A also happens over here." In this case, he referred to animal breeding which most people understand and accept.
Whether or not artificial and natural selection or different, or if they differ on the finer points, is really not the point. If the analogy of animal breeding helped you understand natural selection, then the point was made.