Wool is a great temperature regulator (partly because it controls humidity so well and stores moisture away from the body). You can read a little more about the sleeping microclimate including the effects of wool in post #29 here.
As you mentioned though … wool is a fiber and will compress to some degree which can slightly reduce the amount you sink into the latex and if the latex is softer can slightly reduce the softness of the surface layers (depending on the amount of wool and the stretchiness of the cover it’s quilted to).
Soft quilting foam is also used because it’s very breathable (relative to other types of polyfoam) and also changes the surface feel of the mattress. You can read more about quilting layers in this article and in post #2 here and in along with post #2 here.
There are a couple of posts on the forum which link to much more information about bamboo and how it compares to cotton so I’ll amalgamate them here to save some clicking