(exceptions are pig, villager, bat, wolf, iron golem, snow golem and horse)
Steps to reproduce
Spawn any passive mobs except any exceptions (shown above)
Grab a sword and kill it
Listen carefully, and compare when hitting it with your hand as to not insta-kill it, the sounds will match
(sheep don't even have a hit sound, they just play the 'say' sound)
You can confirm this by searching the the mob's sound folder in the minecraft assets folder
That's no bug, those mobs simply do not have a death sound.
EntitySheep.class