I don’t know why it is so warm but I do know if one is wearing wool and one gets caught in the rain and gets wet, the wool will still keep you warm. Something cotton cannot do, not to mention synthetic materials. This is the main reason wool is preferred by outdoorsy type people over cotton.
Synthetics have largely replaced wool as they are lighter in weight and dry quicker, while still providing insulation (warmth) even when soaked.
My favorite articles though are a pair of pre-shrunk boiled wool mittens made by Dachstein. Most everything requires gloves, but if not those babies get put on w/ a pair windproof shells. If my hands get cold then, I gots problems.
Synthetic fleece and advanced materials are much warmer than wool for the weight. Also dry faster and insulate better when wet.
If you want to really know about fabric performance, ask ice climbers and winter mountaineers. Synthetics of various types have almost replaced wool for this group.