The only advantages I think of a wool blanket is durability and fire resistance. They are near indestructible and heat resistant, but other than that, when it comes to weight,size or price, or comfort a fleece blanket or cheap $20 sleeping bag will beat it by a long shot. Either wool, fleece, or a synthetic sleeping bag can insulate when wet, but with wool, you'll be waiting 5x longer for it to dry. And if you have ever tried hand washing a down sleeping bag in a bathtub, you'll find out that it's not that easy to get it soaking wet. It takes a real effort to get the insulation saturated, since the shell is usually designed to be pretty water resistant. You could completely submerge it for 10 seconds then shake off the water, and chances are it will still be dry.

I do like merino wool for base layers, because it's true that it won't stink (as bad) after days of wearing. But that quality probably isn't very important in a blanket.