The event details specifically states "When gathering wool, it must be gathered with a gathering knife only."
You're teaching the small child how to do this. Her character model isn't there with you, but in the dialogue it's implied she is. Don't use a bigger or heavier knife than she can hold. Teach her properly or she'll hurt herself.
Plus a gathering knife is like 80g. Pretty sure some mob somewhere drops one too. Can't remember what off the top of my head, but there's no way I enchanted one to be Windy lmao
Again, I had a dagger handy, and IIRC the bit about having to use a gathering knife was added after a number of players were going "What?" when logic left the stadium.(check the "help" section to see some of the threads)..
An example of some weirdness- people reported success using a sickle.
I am half tempted to try using a pickaxe or gathering hatchet, just to see if that also works.