I presume that you are referring to Dave Cantebury and his Wilderness Outfitters video's - amongst others?

Wool blankets have their place. Particularly if you are using a fire to keep warm.
Under most circumstances a synthetic sleeping bag of the appropriate rating is the better choice. Except around an open fire, where there is a risk of sparks igniting the bag.
The big issue that I have with the wool blanket idea is that it presumes that ability to make and maintain a fire.

They are also heavy and have a rather high volume to weight ratio. I am sure that most of you have watched the You Tube videos of someone being cold water immersed and then struggling to get and stay warm whilst drying - or trying to - their clothing out. I am sure that one is not the only person who considers it better to put extra clothing in a dry bag? That way if you do have the misfortune to suffer an immersion event, you can strip off the wet clothing and don dry immediatly. Which vastly improves your chances of avoiding a hypothermal event.