Docile mobs like livestock, pets and untamed critters are not afraid of hostile mobs. This means they will not run away from hostiles, and they entirely ignore combat happening around them, even when not fenced in.
This not only means we don’t get that bit of ambiance, but shepherds don’t have to run after and reclaim them after combat ends, and hostile mobs don’t have to give chase when livestock flees, and that behavior might have strategic value. “Oh look, he chased my sheep right into turret range. Eeeehxcceeellent…”
While this could be considered a suggestion, I think the lack of this behavior is actually a bug. Hearthling behavior accounts for fear, but livestock doesn’t.
Version Number and Mods in use: