I'm no expert, and it wouldn't surprise me if my sheep were a bit odd in their habits. We have a variety of barriers to keep the sheep away from plants, young trees and shrubs; chicken wire around stakes, pallets, rings of fencing, etc. It doesn't seem to take much to discourage them so long as there is plenty of other food around.
They seem to avoid what is poisonous, we have a lot of nightshade in a few areas and they don't bother with it. Mine love one thing that is supposed to be toxic to them, acorns.
As for shelter, my sheep's favorite is a tarp lashed to some poles to make a low "cave" about 3' tall. We bring them in to a barn at night but really don't need to, they'd probably be just as happy staying out on pasture under their tarp. Ventilation is important, a three sided run-in style is great, I built one for our ram and wether. It is 8x8, 7' tall sloping to 5' with a shed roof. I wanted it tall enough for me to get in and muck it out easily. The run-in doesn't have a floor, the barn does and is easier to clean.
Our sheep have lived with ducks and chickens just fine. The sheep will occasionally swing their head at a chicken but the chickens are too fast. We have Jacob sheep at the moment for their fiber and eventually meat. I'd like to get Katahdins for our meat breed when we have more land.
I've never tethered our sheep, but our ram came trained on a collar and leash. Makes it much easier to move him around, unless he gets bored and wants to fight.