Why is it "Shaun the Sheep" but "Peter Rabbit"? Or Pepa Pig, but Dorothy the Dinosaur

Epithets. I can add some more examples, for example: Charles the Great, Charles the Rash, Edward the Confessor BUT The Brothers Grimm, the Emperor Jones

What is the rule or difference in meaning when post-positive or pre-positive adjectives are used?

What is difference between Peter Rabbit and Peter the Rabbit?

In the most general sense, "Peter the Rabbit" would imply you're talking about a rabbit named Peter, while "Peter Rabbit" would imply the character's surname is Rabbit. The character "Shaun the Sheep" is a sheep named Shaun, while Peppa Pig's is a pig who ALSO has the surname "Pig". Likewise, Charles the Great did not have "Great" in his legal name, while the Brothers Grimm shared the surname Grimm.

The answer above is technically right, but the legal surname of a talking animal is not a terribly important matter.

So, I suspect that many such choices are likely made based on how easily the result rolls off a tongue. Dora the Explorer works. Need the "the" to break up those vowels. Dora Dinosaur sounds fine though. (So they got that wrong...err...). Shaun Sheep would sound awful: like one long, saliva-heavy non-verbal noise emission. The "the" is vital.