It seems like its a little more than standard insulation, but not a ton...if you click on the "homes" or "vans" the dropdown has a buy now option, click that and it shows pricing...their site is very informative once you spend some time going through it.
They address that, it says most people aren't actually allergic to wool, they just can't wear the itchy stuff of yesteryear, but can wear modern wool. Having it in the walls should be no problem supposedly...
Good insulation makes a world of difference, you can tell the difference in quality. I'd love to try this stuff. I am really keen on that Roxul stuff, I used in several spots in my current home and prior home and I've always noticed a difference between that and the standard fiberglass. However you do pay for it in price, but long term I think you make it up.
Wool has been used for quilts for years. Just don't get them wet as they stink. It was a very interesting website. It definitely is a more renewable and sustainable source.