I have a variety of wool clothing and fleece along with other synthetics like polypro. I have used them all in all sorts of conditions. I always end up more comfortable in wool.

I think that wool or other natural clothing has a wider range of comfort than any of the synthetics. I can wear wool and it can be relatively warm and I am comfortable or it can be cold and my wool will keep me warm. The synthetics are less comfortable when it is warm, like indoors for a period of time and they are more uncomfortable in the cold because they promote perspiration, like putting plastic next to the skin.

A mix works well, light merino next to the skin and heavier wool or fleece layers next. A good windshell is necessary with either.
I find it easier to regulate my body heat with wool than with fleece. The wool breathes better to me. Fleece tends to let cold air in when it is windy and requires that wind shell more often.

I was out in s snowy, windy day this weekend and on top I had a polypro light shirt, a nylon shirt and a Polartec 300 jacket with pitzips and a mid-weight wind shell. On my lower body I had a light pair of merino wool underwear and a pair of 5.11 Taclite Pro pants. I was comfortable. I think I would have been equally as comfortable with a light merino top, a wool sweater, wool scarf and a windshell. It seemed to take more synthetic to keep me warm and it also made me hot with little activity. Wool would have been comfortable over a wider temp and activity range. If that makes sense.