I'll re-post a few things I've written about Merino in another thread on this forum. Apologies if that's against forum rules, but I feel it's useful to those who read this thread.
1) Whatever you do, don't buy into the whole "merino baselayer" fad. It's hype. Yes, it wicks sweat from your skin well, but as a hydrophillic fiber, it will hold onto that sweat. This will make you cold/clammy/uncomfortable to varying degrees, depending on the fabrics you use over the top of it. The best test of a baselayer is to wash it as prescribed on the label, then check out how wet/damp it is when it comes out of the machine. Then hang it up on a line indoors and see how quickly it dries. The best layers will come out a tiny bit damp but surprisingly dry-ish, and then be totally dry in quick order on the line.
For Winter, look absolutely no further than the Assos SS.skinFoil_Spring/Fall_Evo7. I'm a textiles nut and I have absolutely no idea how they make this thing fit so well, warm so well, breathe so well and keep you dry. It's voodoo magic. I say get the short sleeve version, so you have the option of adding arm warmers *under* your jersey to give you more flexibility for changeable conditions
2) For a given jersey/jacket combination a merino baselayer will never perform as well as a synthetic one for any type of aerobic (or higher) activity. About the only thing merino does well (though still not as well as synthetics) is wick moisture, but once that moisture is absorbed into the garment it stays there. It doesn't insulate as well as modern synthetics (wet or dry), doesn't wear as well as modern synthetics, isn't as soft-touch as modern synthetics, and is usually more expensive to boot.
In regards to "warm when wet", kind of. But when you exceed 30% saturation (very easy to do on a hard ride) the already minimal exothermic (generates heat) properties drop off a cliff and just won't do as claimed anymore. Not to mention that this warmth is negated by a cold wind blowing at your body constantly from outside as you ride.
There is simply no substitute for dry when it comes to warmth retention.
There are also differences in whether the moisture hits the garment as steam (bodyheat) or liquid (sweat)... merino handles the former kind of OK... but won't be able to disburse liquid moisture anywhere near as quickly or uniformly as a synthetic textile.
The "does not retain odour" component is true but largely irrelevant - which in most cases is more misleading than false. Useful for multi-day hiking, camping, travelling but since when is odour as much of a concern for a cyclist (who isn't bike-packing)?
So hey, merino does do "stuff"... that's true, it's just that the stuff it does do isn't anywhere near as good or as useful as the "stuff" synthetics do.
This is fair and speaks to the specific question posed here (high intensity work in cold weather) - I also use synthetic technical base layers for this. Saying this most of my riding in cold weather is not high intensity, and I don't sweat, I am trying to stay warm without overheating (it gets cold in Canada!) - in these circumstances I use merino base layers as I find they are warmer.