Wool (which is not hollow) feels dry to your skin because it absorbs moisture -- to a point. In fact, to a point, wool is exothermic; it actually creates warmth while absorbing moisture. Beyond about 30% of its weight in water, wool stops absorbing moisture and feels wet and allows evaporative and conductive cooling.
Polyester feels dry to your skin because it transports moisture. The fibers are hydrophobic - absorb no moisture. Moisture is driven away from your body by the push of body heat. This is why damp polyester will dry on the wearer several times faster than wool.
Insulation, as noted above, is provided by "dead" - trapped - air. No magic. Just air. So, generally, thicker is better = more trapped air. As the air spaces are filled with more and more mositure - up to liquid water - insulation declines to zero. Using "wet" in its usual meaning, wet wool does not insulate and wet polyester does not insulate. But water will run out of wet polyester whereas wool absorbs water. Thus, wool is more likely to freeze stiff than ployester 'cause it takes much more tiem to dry.
There is simply no way that a 3/16" thick wool blanket, regardless of quality, can be a superior insulator to a thicker polyester fleece or fiber garment. (A sleeping bag is just a special sort of garment.)
All Artic and Antartic expeditions I can locate have, for decades, used wool only for socks.
All the lovely "boiled wool" trousers I have, and wear, are courtesy of the German and Swedish militaries dropping wool over fifteen years ago in favor of nylon and polyester.
Polyster fleece breaths well. Indeed, it resists wind less than some high-quality, dense wool fabrics -- which can be bad. That's why we select outer layers that resist wind while still breathing some (unlike Gore-Tex that freezes up/shut in severe cold).
Wool is clearly superior in resisting sparks, which melt - melt - holes in nylon or polyester. Ever try using polyester or nylon for tinder? You won't like it much.
Smell? I like the smell of wool, expecially compare to polypropylene stink.
None of these facts mean anything to anyone who is uncomfortably warm at -35F in a single blanket of any kind plus a deadly, non-breathing poncho to collect perspiration. (Check for aliens amongst us.

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