Hi and welcome to the forum. I do not know of "New Mexico Dahl " sheep but am going to assume they are very similiar to the White Texas Dall (Dahl) sheep we raise.
First off, if the lambs are bottle raised, they can be FAIRLY tame. Some are just as tame as any other bottle raised baby. If they are raised on the ewe, NO. They are considered a semi-wild breed or feral type sheep. They are not for first timers to get started with. Not to put you down in any way.
They are very athletic as you found out, can easily clear a fence if so inclined, but I am wondering if yours didn't go under the fence as they will find the smallest spot and scoot under. They are very flock oriented and do not settle well when moved around. We have some ewes that will try to "go through" my 6'6" son if they feel threatened or are trying to get out of the pen. We have had these for over 25 years. If you have them in contained pens where they are totally dependent on you for feed and water, meaning little or no grazing, they will get more familiar but for the most part they are not the kind of sheep you want if you want friendly sheep. The same goes for breeds like Barbados Black Belly sheep and Mouflons. They are not for pets for the most part.
As I said, if bottle raised then they do not learn the "flight" instinct as much. We have a couple that were bottle raised and they are kept because they will come to a bucket and we can move and catch the others with these couple of "tame ones" in there. They are quite tame. Yet when they lamb, the lambs are not as friendly even raised by the friendly ewes.
We raise the rams for their "horns". They go to hunting preserves. The lambs that do not meet the criteria, are sold during different ethnic holidays. The meat is very lean and good, but they also do not gain like a domestic breed of sheep.
We can go out with a bucket of feed and they will all run up to get some but as soon as you move to go to another feed pan, most will run away 5-10 feet. You cannot pet them except for the bottle raised "pets".
My son tries to tag them within the first 2-3 hours because after that he usually cannot catch the lambs. Sometimes he can catch them unawares, but if they go 24 hours without being tagged, then he has to get them into a catch pen to literally trap them to tag.
We do have standard 4 foot woven wire fencing. Don't have much trouble with them trying to go over; but it is within 2 inches of the ground or they will find a spot to go under. Or a spot to go through it if there is a small hole. We run them in a small pen and right on the cattle trailer that they cannot get out of, to work them. Then we will grab them and work them, trim feet, worm, or whatever. Would not want to try to work them if they were not in something that had strong sides and a roof over it.
The rams can weigh over 150 lbs and it takes all my son can do to hold one when we are measuring their horns. We have to do that in order to market them. We have beef cattle and he is not only tall but strong. I would not even attempt to try to hold a ram by myself.
They ARE NOT MEAN, they are just a semi-wild breed and are not for someone who doesn't have any experience with sheep.
We used to raise Horned Dorset sheep. Loved them. Love the horns. But there was no market for the wool. They are a domestic breed and very tame. Have had several other breeds over the years. Just like the horns. So when a friend who was into exotics, told him about these, he got some and that was it.
Sheep are for the most part easier on fences than goats, don't do the "climbing" on everything like goats. There are several "hair breeds". Dorpers are the most meat, katadins and st. croix are others. I don't know much about the temperments except that the Dorpers are pretty good.
