Wool should still stay warm when wet though?
Only to a certain extent, it traps more air than cotton, merino traps more air than standard wool, but water still transmits heat away from the body. So say a cotton sock would lose 80% of its thermal properties when wet, normal wool 60%, merino 50% a well made merino/man made fibres only 25%. (figures for example can’t remember accurate percentages)
When you also take into account the time it takes natural fibres to dry, they just aren’t that effective.
Although, they do tend to feel nicer and not pong as much.