Yes,
I would agree with the idea that Lead is used in the manufacture, at least it was up until 1998 here.
There was a case of an Electrician over here that died from Lead-poisoning, in 1997.
The said Electrician had recently given up smoking and had taken to chewing on off-cuts of TPS insulation, to relieve his cravings, to "have something between his lips".
As to the idea that Wool gives off cyanide fumes when burnt, personally having been through the odd Wool Scour Fire, I can say that this is patently untrue.
Even though the smoke from this semi-wet wool is usually pretty acrid and nasty, we did a Chemical test on the smoke and found no trace of any cyano-particulates.