The Night Wind tells the Little Lamb about a star.
The Little Lamb, understandably freaked out by the fact that the sky is talking, runs to the Shepherd Boy going "The sky is talking! It's got a big voice!" (and, based on what I know of sheep, probably also "Will it eat me?!" and "Can I eat it?")
And then it goes off the rails. The Shepherd Boy stomps off to tell the Mighty King (and how well connected is this kid, anyhow? He just shows up at the palace, waves to the guards, walks on in) that there's a child shivering in the cold and we should bring him silver and gold (We? Does this kid have silver and gold on hand, too? Which...might explain the ease of getting an audience, actually...)
At no point does the Shepherd Boy mention that his source of information is a possibly delusional sheep, which, okay, I might not bring that up to begin with, either. But how does the Shepherd Boy know any of this? The Lamb is still back in the field babbling about a voice in the sky talking about stars. Where did the child come from? Did the Shepherd Boy make a detour and find all this out? Why even bring the Lamb into it, in that case? And why is the Mighty King going "Whoa! One of my peasants just waltzed in to tell me about a disadvantaged child? THIS MEANS PEACE AND LIGHT!"
Honestly, if you're that easily impressed, you have to figure that a new faith gets founded in the kingdom practically daily. "Your Majesty, the washerwoman's here and she says there's a fish in the stream with a--" "ALL HAIL DAGON!"
Look, I know it's a Christmas carol, I am just saying that the narrative does not follow logically from the Night Wind talking about stars to the King informing the populace that there's a new religion in town. There are some gaps.
...yes, I am also really, really annoying to sit next to at movies.