Hi secarter,
Welcome to the Mattress Forum! 
I noticed that you registered with your email address, and you may wish to change that to stop spam bots that comb through forums for email addresses like yours.
I’m sorry to hear about returning your Tempurpedic, but memory foam can be a quite warm sleeping material. All foams are insulators to an extent, with latex tending to be your most breathable material (Talalay specifically), followed b polyfoam, with memory foam being the most insulating.
Additionally, softer mattresses that allow you to sink in more also expose less of your surface area to heat exchange and can cause you to sleep warmer that firmer mattresses than you tend to sleep “on” more than “in”.
As for temperature regulation, wool certainly is a very good material at being more “temperature neutral” (and you’ve had a previous positive experience with it). In very general terms … the materials, layers, and components of a sleeping system that are closer to your skin will have a bigger effect on airflow, moisture transport, and temperature regulation than materials, layers, and components that are further away from your skin and softer mattresses or foam toppers will tend to be more “insulating” and for some people can sleep warmer than firmer versions of the same material.
Overall, it’s not really possible to quantify the sleeping temperature of a mattress for any particular person with any real accuracy because there are so many variables involved including the type of mattress protector and the sheets and bedding that you use (which in many cases can have just as significant an effect on sleeping temperature as the type of foam in a mattress) and on where you are in the “oven to iceberg” range and because there is no standardized testing for temperature regulation with different combinations of materials … there is more about the many variables that can affect the sleeping temperature of a mattress or sleeping system in post #2 here that can help you choose the types of materials and components that are most likely to keep you in a comfortable temperature range.
Wool can compress over time (up to 30% in some cases), but it also depends upon the type used and what, if anything, it is blended with, so you’d want to contact the futon manufacturer you’re considering and have a more detailed conversation with them regarding your concerns over impressions over time.
While temperature regulation is your top concern, you’ll also want to make sure that you’re choosing something that also provides for adequate support/alignment, as well as comfort and temperature neutrality.
Phoenix