A couple I knew in the 1970s sent me this creche in appreciation for a Bible study we and some of their classmates at Westminster College had just completed. It was Luke’s story this year, which accounts for some of what you see in the picture. But not all.
The sheep is undoubtedly meant to remind us of the shepherds, but I don’t see any shepherds. Presumably they have returned to the fields praising God for all they had seen and heard and leaving one of their sheep behind. That is possible. On the other hand, since Joseph and Mary are going to need a sheep at the Temple as a sacrifice eight short days from now (Leviticus 12:6)—that will save them from having to go the cheap (turtledove) route. So the sheep could come in handy and that may be why the shepherds left him.
The idea that there were animals at all is said to come from Isaiah 1:3, where an ox and an ass are referred to, but you have to go to the Advent story itself to come up with sheep.
Baby Jesus is in what looks like a crib rather than a feed trough. That seems awkward from a textual standpoint. I guess it is possible that the shepherds came, but left early because there was no baby of the sort the angel described. The angel was quite specific—swaddling cloths, lying in a feed trough. They may have thought that an angel who was wrong about the little things, could also be wrong about the big things and that same angel did speak of good news for the whole people. Maybe he was as wrong about that as he was about the clothing and the resting place of the infant.
The windmill is clearly out of place in Palestine if we are to take its presence literally, a tendency the adult Jesus would warn against, as we will see shortly. As a source of power, however, it is built to be moved by the spirit—wind, breath, and spirit are all the same word in Greek—so it may well be that “moved by the spirit” is a not so veiled reference to the conception of Jesus (see Luke 1:35) or to the dynamism of the followers of Jesus (see Acts 2:2).
In the same spirit, cheese was a normal part of the Israelite diet in the 1st Century. Not, perhaps, those great Dutch rounds of cheese, such as we see here, with a third already missing. So cheese as a dietary element may be all that is meant here. On the other hand, it does recall Jesus’ rebuke of the crowds, memorably reported by Monty Python.  Jesus says that the peacemakers are to be blessed, but someone in the crowd has trouble hearing. What did he say, blessed are the “cheesemakers?” No, no, no. Jesus responds, “Well…obviously…it is not to be taken literally. It is meant to refer to any manufacturer of dairy products.”
The point would be, allowing full scope to artistic freedom, that the cheese is there to suggest Jesus’ later remarks about cheese and literalism. The cheese in only an item in the larger category of dairy products just as Bethlehem is only one of the towns of Judah.
Finally, Joseph and Mary are themselves a handsome young couple. The little black cap on Joseph’s head may be there to represent his trade, carpentry. And Mary’s lovely blonde braids need no further comment at all. It is easy to see how Joseph would be attracted to such a lovely and typical Dutch maiden.
 I regret to say that we have to abandon Luke’s account and go over the Matthew for the true text of Jesus’s remark about the peacemakers.