This membrane is incredibly high in lanolin. This might be a desirable ingredient in soap and candles, but when it comes to cooking, the flavor of lanolin is not one we particularly enjoy!
When people talk about disliking lamb because of the taste, the likely culprit is the fell and the fat beneath it. If even a little of the fell is left to cook with the meat, it can give the entire dish a waxy, almost rancid flavor.
The fell will already be removed on smaller cuts and on meat before it's ground. Even with larger cuts, like a leg of lamb, the butcher has often already removed the fell and trimmed the fat for you. Even so, be sure that all the fell has been removed (by you or your butcher) before preparing your dish!
The job of removing the fell is made easier because it primarily covers the fat, which also has a fair amount of lanolin and can be removed. Use a sharp knife to separate the fat from the meat, removing as little meat as possible.
What's your favorite way to prepare lamb?
Related: Spice Seared Boneless Leg of Lamb