Just noticed this topic and though I'd offer my thoughts.
I've never fed whey to lambs. I've found their dietary needs to be rather delicate, at least in the first 4 weeks. If you bottle feed you could consider using whey instead of water when mixing milk replacer. The increased protein and trace minerals could be a benefit, but the ph difference could be upsetting to the lambs' systems. Another concern would be bacterial contamination if the whey isn't pasteurized just before use. The whey alone wouldn't be nutritious enough. Personally, I wouldn't start my first experiment in this area of whey supplementation until three weeks or so before weaning, when they're already soundly consuming hay and grain.
I relish whey, using as much as I can in cooking, bread baking or lacto-fermenting, and even freeze some for those uses in winter. Any of our excess whey gets fed to the dogs, pigs, or chickens. It seems to work as an excellent supplement to their diets. I've never heard of anyone feeding it to sheep or goats, but it is an intriguing idea. Could be you might try it with hoggets or aged ewes/rams before feeding it to lambs.
Do let us know how it goes if you move forward on this.