Yes, the different breeds differ in their propensity to felt. Some felt wet but not dry, some vice versa, some felt as soon as you look at them, some take a lot of work...
I just went to look up Soay for you in the Fleece and Fiber Sourcebook, and to my dismay discovered that it doesn't give the felting characteristics for each breed
.
BIG oversight, I'd say.
I believe that Soay is similar to Castlemilk Moorit, and thus would be a greasy, possibly double-layered and/or hairy fleece. Probably not terribly easy to wet felt.
To test, put some in an old saucepan (not used for food any more) with a very good slug of washing up liquid, and boil. Then plunge into cold water and swish about, then back into hot, and wring.
If it isn't a hard lump after all that, it won't felt!