Use any part of an animal for making stock/broth?
Stock is made from bones only and broth is the liquid that meat has been simmered in.
A well made stock should be clear without particles or cloudiness.  Broth will usually be somewhat cloudy due to containing more dissolved proteins.  

Bones for lamb stock (and any brown stock - veal can be made white or brown but lamb is usually brown) are typically first roasted.  The roasting will melt fat that may still be intact.  After roasting bones for stocks such as lamb, veal, and duck you would then remove the bones from the roasting pan and roast the vegetables.  You can use the residual fat for coating the vegetables prior to roasting. (Just put vegetables in roasting pan and toss to coat with the fat).  Fat from the bones will congeal on the top once the stock is chilled and you can then easily remove it.

I wouldn't add or purposely leave chunks of fat attached to the bone as you just have to remove it later but what is there isn't a problem.