Wool stuffing like wool yarns has memory to it, so once it dries in a desired shape, it stays that way with the emphasis on 'stays'. You have to love a trained piece of yarn!
The larger-size eggs I still use polyester fiberfill to fill the eggs mainly because of the size. It would take a great deal of woolly stuffing to fill a dozen larger-size eggs, so economically, the fiberfill is a cheaper fill. If your eggs stuffed with fiberfill lose their shape, they too can be saturated with water and reshaped year after year.