IME it will not cause leaks in wool, especially if you use polyester thread. Wool is fluffy, it traps and absorbs moisture. Those threads are surrounded by wool fluff which is airy anyway. Adding a second layer in the wet zone is a great idea if you have thin wool or a heavy wetter. But the real key to preventing leaks/wicking is having a nice absorbant diaper underneath.
PUL works in a completely different way than wool. It does not absorb moisture, it is simply a barrier. Holes in a barrier can equal leaks, except that most mamas find that the PUL layer does close and seal around stitching. You could put another layer of PUL in the wet zone, but you aren't really improving the function of the cover unless you've pierced it with a lot of holes like you do with embroidered designs. Most embroidered diapers have a second layer of PUL fused over the embroidery to seal the whole area up.