i would think it would be somewhat fuzzy when it is felted too. i don't know that to be true, just my assumption since my alpacas are all slightly fuzzy yarns.
I have done the unthinkable several times and felted Malabrigo. It is some of the best felting stuff that i have ever used. However, it doesn't retain its softness. It doesn't become hard, of course, but it doesn't have that yummy softness that we all love malabrigo for. (Seriously though it is an AWESOME fabric once it is felted)
The reason I am saying that though is that if you are hoping to keep the softness you might be disappointed. Maybe if you tell us what you are looking for we can find something that will work as well?