On the german wiki page I read that wool is made of proteins called Keratin, and Keratine are not soluble in water, acid or bases.
I'm not sure if that is true because Pleater said that wool is soluble in chlorine bleach.
Anyway I would guess that the effects of gunpowder would be marginal because first of all the muzzle is quite far away from the kilt and the powdersmoke would be diluted quite a bit when it reaches the kilt.