As far as the issue of lanolin causing sensitivity or dermatitis, it's my understanding that this may be more common when lanolin is used on injured or broken skin, not so much on normal, undamaged skin.
Here's an interesting paper talking about the causes of allergic contact dermatitis (ACD) in moisturizers:
http://www.ncbi.nlm.nih.gov/pmc/articles/PMC3016930/ The authors list fragrance, parabens, Vitamin E, and essential oils as being the top four ingredients in moisturizers that trigger ACD.
According to the paper, lanolin is the 9th most common trigger for ACD. The authors note, "...reactions to lanolin more frequently occur on compromised skin, yet lanolin is generally safe when added to cosmetics extensively used in the population on noncompromised skin...."
I think three of the top 4 ingredients -- fragrance, Vitamin E, and essential oils -- listed in the paper could be triggers for skin irritation when used in shave soaps. According to this article, "...facial skin has been found to be more sensitive to moisturizers than other parts of the body..."
Anyways ... might be worth a read.