AndrewDrummond - have a read about the working temperature of Merino and how it effects the body temperature when wet. It's completely different to the way you'd judge synthetic or cotton fibre.
However, I would say that if they were wet through sweat, then they're probably wearing the wrong thickness of Merino. Merino wicks very well (I haven't seen figures comparing it directly, but I seem to recall that density of weave and fineness of fibre made more difference than wool v synthetic). I was careful to swap like-for-like when going from capilene to merino.
Another upside is that wool isn't flammable. I have fires when wild camping, woodburning heating when on campsites in winter and small woodburning cooking stoves for backpacking.
Downsides to Merino are cost (in some cases), fragility, washing care and allergies in some (although the same can be said for synthetic).