The outdoor active market is full of tech fabrics that make all kinds of performance promises. Many of those promises are true, some are not, but one thing none of them can claim to match is warmth when wet.
Wool can absorb up to 30% of it’s weight in moisture and still not feel wet. The crimp in the fibers also wick moisture away from the body which is critical in keeping you warm when wet. If that moisture sits on your skin you’ll never get warm.
That crimp in the wool fiber keeps the strands up against each other forcing tiny air pockets in the fabric that act as insulators. By keeping the air in the little pockets it can’t move around and holds the heat in.
There is much more to why wool keeps you warm when wet but the main point here is it’s hard to produce this artificially. Man made fibers can move and wick moisture but insulating while wet is best left to wool.