I have dyed two sheep the same color and then tried to breed them and the offspring is always a natural color (white, grey, black, brown) not the color of the parents. I have tired this with a number of different colors and the same thing happens, I only get natural coloured offspring. The same thing happens when breeding natural colored sheep, e.g. when I breed two naturally spawned white sheep, sometimes the offspring is white, but sometimes it is grey, brown or black.