I had several (maybe about 15?) colored sheep with names disappear from their pen, along with all but one of my cows in the adjacent pen.  There was no wolf in the pen, nor were there any items indicating the sheep had died, and there were still a few (I want to say 5) sheep left in the pen.  I do not know what caused it, although I had increased the size of the pen very recently, although I do not believe that should have caused the named sheep to despawn.  I certainly wish I knew exactly how it happened, but I have no idea.  My best guess would be that expanding the pen gave them enough wander room that a normal sheep could despawn, and the applied name tags failed to stop it, but this does not explain what happened to my cows, as I left their pen untouched.