Well, wool isn't the be-all-end-all, it breaths, but it doesn't protect from the elements. Gore-Tex isn't everything either, it's just piece of the puzzle. Both have their niche. Material sciences is still a developing discipline and we're learning more every day.

Just throwing this out there, Are you seeing Olympians and Special Forces wear wool coats? Nope. Why? Cause it's bulky and isn't an adequate shield for the elements (wind and rain). But they are wearing wool/synthetic hybrid socks. And also wool blankets.

All of this is a compromise.

"wool exists" is too simplistic. There so many more factors in play.