Hi an welcome.
The things that struck me are:
I wouldn't use pjs over the wool - it works best if it has room for air to circulate as this allows it to evaporate. I would just put him in the grobag. You could put some babylegs on if you are worried his legs will get cold.
Like Tory, I wouldn't rinse, and I don't use vinegar. I just leave to soak overnight and then gently squeeze and lay over a drying rack over the bath. Wool can take 3 or 4 lanolisations (is that a word??) to get up to full strength to use overnight and they really do get better with time. So it honestly doesn't surprise me really that they didn't work after one go. However after 3 lanolises they should be fairly waterproof and not smell at all after a few hours airing because the lanolin is anti-bacterial so it really sounds like there isn't enough lanolin in them.
Try boosting the nappy more. As Steph says, microfibre is not the best thing pn its own with wool. And it really sounds like you need some more - perhaps combine the mf with some hemp. Charlotte can outwee a hemp and terry stuffie nappy with it's own booster, 2 easy peasy hemp boosters and a microfibre cloth at the moment so I know how much they can wee!!
I hope this helps. Look forward to chatting some more soon. And do come back with more questions!