Hi HybridAWD,
Like most natural materials … both latex and wool have some smell when they are new. Both of these will diminish over time to levels that won’t be noticeable for most people but how long it will take will also depend on the sensitivity of the person and the smell of natural products can also vary somewhat from batch to bath.
There is more about the smell of latex in post #2 here and there are some suggestions here that should be helpful but I suspect that what you are smelling is probably the wool (see post #18 here) or of course it could be a combination of both. In the case of wool it can also be stronger initially in more humid environments and airing out the comforter in the sun can also help. It may also be worth calling Cozy Pure as well to see if they have any additional suggestions.
Either way it’s certainly not harmful and will diminish over time to levels that most people won’t notice.
Phoenix