Wool is warmer when wet/damp in my experience. You don't wear fleece socks in cold rain, do you? I also like wool gloves because they keep my fingers toasty without a shell over them.
Part of this is because wool feels dryer, less thermally conductive when wet, also it dries way slower.
Some of that super duper ultra fast dry polartec stuff can chill you way down when it starts drying out.
But the cons outweigh the pros most of the time. Soggy, heavy, stretched wool layers suck.
Still like a thin wool long sleeve if I'm going to be in a rain jacket all day long.
There are also some very experienced people who wear wool head to toe in cold/dry winter conditions. Les Stroud is a good example. I've heard that it thermoregulates or whatever better in those conditions.
Yes, 90% of wool outdoor clothing marketing is BS.