That's not wet dog odor... that's wet sheep odor! Yes, wool does have a smell when wet. Should go away when it dries out, don't worry.

Just getting it wet won't make it need cleaning. But if you wore it in the car on the way home, you may need to press it. I got my kilt soaking wet once in a downpour and then drove an hour home in it. Because the kilt was wet, when I sat on it, I effectively "pressed" in wrinkles all over the back. Had to fix that with the iron when I got home.

M