I wear wool year around. I have inexpensive Army surplus and I have expensive stuff like Filsons, Swanndri, Asbells, Pendleton, etc. it is great stuff, warm when wet, quiet, durable, adapts to a wide temperature range.
I do have a couple issues with wool, and they are most noteworthy when I am backpacking, like a multi day mountain goat hunt.
One issue is with wet. Although warm when wet, it is warmer when dry! And when it gets wet, it is hard to dry until you get to a heated cabin/tent/boat or until the sun comes out. When wet it is a drag to put back on in the morning, especially if it froze during the night. It also gets heavy when sodden.
It rains/snows 80-100 inches a year here, plus we are in boats all the time. Lots of chances to get wet. Fleece is easier to wring out and get a little recovery overnight in a cold tent.
The other issue is packability. It is harder to carry in the pack than some of the synthetics like fleece, primaloft, etc. that you can compress, and can wring out some of the water so you arent packing it around. Again, more of an issue when living out of a backpack.
So for some situations I go with the less traditional synthetics. Wool is great stuff, but sometimes I make a switch.