Why was there an Anglo-Saxon law banning sheepskin covered shields?
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Because King Athelstan was concerned about the quality of soldiers' shields. Sheepskin was a cheap but poor quality option for covering shields.
A key theme of Athelstan's Grately Codes is dealing with theft and other forms of dishonesty.
To the king’s mind, theft constituted the greatest single problem and represented the most significant manifestation of social breakdown across the realm. He legislated repeatedly – even disproportionately – in his law codes for the prevention of thievery
Source: Athelstan: The First King of England by Sarah Foot
Among other things, Sarah Foot mentions
...directives concerning shield-making, the provision of mounted men for military service, bribery...
Geoffrey Hindley, in 'A Brief History of the Anglo-Saxons', gives more details:
The largest pieces of equipment, helmet and shield, are at the same time the most majestic emblems. (Though even here makers might attempt to cut corners. King Æthelstan’s Grately code (c. 930) warned shield-makers not to use sheepskin, in place of true leather.)
(my emphasis)
As the shield was "the main form of defensive armour" (in 'Evidence for shield construction from the early Anglo-Saxon cemetery site of Tranmer House, Bromeswell, Suffolk'), the king would naturally have been concerned about the quality of his soldiers' shields. Sheepskin is not as durable as, for example, cowhide which
is well known for its toughness
When compared to sheepskin,
Cow skin leather is rugged and durable... It is thicker, stronger and less likely to tear or rip
Thus, the ideas expressed by SE:H users in the comments above are basically supported by the evidence here.
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