They may be confusing loft with warmth. A wool batting would be warmer, but it would also be thinner. They are probably thinking about modern polyester comforters and/or down comforters, which have a lot of loft. Traditional quilts were made with cotton and were much flatter than modern day comforters. Warm n Natural is a modern cotton batting needlepunched through scrim, which makes it actually thicker than a traditional batting but with a flatter look to it when finished. I quit using Warm n Natural because I prefer a thinner cotton batting that is more flexible.
Try Hobbs 80/20 batting next time and see how it is liked. This is still a primarily cotton batting, but the poly gives it a little loft. Because it is not needlepunched through scrim, it will be softer and provide a little more loft.