Common question what is the difference between Lambswool roller and Sheepskin its the same natural lamb wool from sheep.
Lambskin used commonly in car seat manufacturing or infant seats as it generally a bit softer.
Lambswool is just another name for natural wool.

Australian lambswool is famous all around the globe.

Generally used on rougher surfaces such as cement render and brickwork because of the longer pile height. The natural fibers pick up and release paint readily however the rollers are more expensive than those made from synthetic material.
Also using a Lambswool roller gives you less splatter and could go into really deep gaps between bricks.