I've never used merino lace wgt either, but I'm thinking it will make a soft and warm lace piece. Be sure to get one that's spun strongly and use a lifeline.
I've used KP Shadow, Zephyr and Seasilk. I like them all. I tend to prefer lace yarn with a little crisper definition than soft merino can provide. But that, of course, is a matter of choice. I also like almost solid shades because they don't conflict with busy lace patterns.
Hope you find the right lace yarn!