Biological polymers like keratin (in fur, feathers, rhino horns, etc.) are essentially assembled by microscopic machines, one monomer at a time. Polymerases and other enzymes build the keratin strands in a down cluster by latching onto the growing strand and attaching each new subunit individually, adding branches in just the right places, and terminating the strand at just the right length. It will be a long time before human technologies can permit such finely controlled fabrication processes. This is analogous to sending magically shrunken teams of skilled construction workers into a chamber to build a single tuft of Primaloft at the molecular level.
Sea otter fur can have a million hairs per square inch, each growing to an optimal length that provides insulation but doesn't become entangled or trap debris, and the whole pelage is kept waterproof and breathable by a continuously secreted and finely tuned concoction of sebacious oils, free fatty acids, alcohols, and waxes.
Synthetic insulation is very crude by comparison. To me it doesn't seem at all unexpected that we haven't yet improved upon down.